[20° Forum SIS] Seminario prof. Fouskakis

[Dip. Scienze Statistiche - Mi]

Il Dipartimento di Scienze Statistiche dell'Università Cattolica del Sacro Cuore ha organizzato un seminario, presentato dal Prof. Dimitris FOUSKAKIS, dell'Università di Atene, dal titolo:


Power-Conditional-Expected Priors: Using g-priors with Random Imaginary Data for Variable Selection



Venerdì 17 Gennaio dalle ore 11,30

in Aula G 151



Università Cattolica del Sacro Cuore - Milano

Largo Gemelli,1 - Edificio Lanzone 18

Abstract:
The talk consists of two parts. In Part 1 a description of how the Bayesian community deals with the variable selection problem will be presented. Several popular approaches to Bayesian variable selection, including computational methods for posterior evaluation and exploration, will be briefly reviewed. Additionally, different approaches on specifying the prior distribution (a) on the parameter space of each candidate model and (b) on the model space, will be shown. Emphasis will be given on "Objective" Bayesian variable selection techniques.
In Part 2 we borrow ideas from the power-expected-posterior (PEP) priors in order to introduce, under the g-prior approach, an extra hierarchical level that accounts for the imaginary data uncertainty. For normal regression variable selection problems, the resulting power-conditional-expected-posterior (PCEP) prior is a conjugate normalinverse gamma prior which provides a consistent variable selection procedure and gives support to more parsimonious models than the ones supported using the g-prior and the hyper-g prior for finite samples. Detailed illustrations and comparisons of the variable selection procedures using the proposed method, the g-prior and the hyper-g prior are provided using both simulated and real data examples.



Segreteria Organizzativa:
Sig.ra Barbara Villa
Tel. 02-7234.2647 - Fax 02-7234.3064
e-mail: dip.scienzestatistiche at unicatt.it





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