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Variations of power-expected-posterior priors in normal regression models.

Fouskakis, Dimitris and Ntzoufras, Ioannis and Perrakis, Konstantinos (2020) 'Variations of power-expected-posterior priors in normal regression models.', Computational statistics & data analysis., 143 . p. 106836.


The power-expected-posterior (PEP) prior is an objective prior for Gaussian linear models, which leads to consistent model selection inference, under the M-closed scenario, and tends to favour parsimonious models. Recently, two new forms of the PEP prior were proposed which generalize its applicability to a wider range of models. The properties of these two PEP variants within the context of the normal linear model are examined thoroughly, focusing on the prior dispersion and on the consistency of the induced model selection procedure. Results show that both PEP variants have larger variances than the unit-information -prior and that they are M-closed consistent as the limiting behaviour of the corresponding marginal likelihoods matches that of the BIC. The consistency under the M-open case, using three different model misspecification scenarios is further investigated.

Item Type:Article
Full text:(AM) Accepted Manuscript
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Publisher statement:© 2019 This manuscript version is made available under the CC-BY-NC-ND 4.0 license
Date accepted:04 September 2019
Date deposited:15 October 2019
Date of first online publication:12 September 2019
Date first made open access:12 September 2020

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