Lecture 17: Bayesian Model Averaging

Readings

• Liang, F., Paulo, R, Molina, G. Clyde, M, Berger, J (2008) Mixtures of g-priors for Bayesian Variable Selection. Journal of the American Statistical Association, 103: 410-423

• Hoeting, J.A, Madigan, D. Raftery,A. Volinsky, C.T. (1999) Bayesian Model Averaging: A Tutorial Statistical Science, 14: 382-401

• A First Course in Bayesian Statistical Methods by Peter D. Hoff

  • Section 9.1: The linear regression model (review)
  • Section 9.2: Bayesian estimation for a regression model
  • Section 9.3: Model Selection (linear regression)

• Bayesian Data Analysis (Third Edition) by Andrew Gelman, John Carlin, Hal Stern, David Dunson, Aki Vehtari, and Donald Rubin

  • Section 14.2: Bayesian analysis of the classical regression model

• The Bayesian Choice (Second Edition) by Christian Robert