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Biometrika 1996 83(2):267-274; doi:10.1093/biomet/83.2.267
© 1996 by Biometrika Trust
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Predictive specification of prior model probabilities in variable selection

PURUSHOTTAM W. LAUD1 and JOSEPH G. IBRAHIM2

1Division of Biostatistics, Medical College of Wisconsin Milwaukee, Wisconsin 53226, U.S.A
2Department of Biostatistics, Harvard School of Public Health 44 Binney Street, Boston, Massachusetts 02115, U.S.A

We examine the problem of specifying prior probabilities for all possible subset models in the context of variable selection in normal linear models. A solution is proposed that uses a prior prediction for the observable, an associated weight, and prior opinion regarding error precision as the only required input. Numerical examples are given to illustrate the method.

Key Words: Imaginary experiment • Local Bayes factor • Prior prediction • Prior for regression coefficients


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