[Forum SIS] (no subject)

[Claudia Tarantola]

Il Dipartimento di Scienze Economiche e Aziendali 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

 

Giovedì 23 Gennaio dalle ore 13 

in Sala del Consiglio

 

Università degli Studi di Pavia

Via San Felice 5

 

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.

 

 

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