Fully bayes factors with a generalized g-prior

Abstract

For the normal linear model variable selection problem, we propose selection criteria based on a fully Bayes formulation with a generalization of Zellner's g-prior which allows for p >n. A special case of the prior formulation is seen to yield tractable closed forms for marginal densities and Bayes factors which reveal new model evaluation characteristics of potential interest. © Institute of Mathematical Statistics, 2011.