On Bayesian model and variable selection using MCMC

Authors:
Petros Dellaportas;Jonathan J. Forster;Ioannis Ntzoufras
Affiliations:
Department of Statistics, Athens University of Economics and Business, Patission 76, 10434 Athens, Greece. petros@aueb.gr;Department of Mathematics, University of Southampton, Highfield, Southampton SO17 1BJ, UK. jjf@maths.soton.ac.uk;Department of Statistics, Athens University of Economics and Business, Patission 76, 10434 Athens, Greece. jbn@stat-athens.aueb.gr
Venue:
Statistics and Computing
Year:
2002

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Abstract

Several MCMC methods have been proposed for estimating probabilities of models and associated ‘model-averaged’ posterior distributions in the presence of model uncertainty. We discuss, compare, develop and illustrate several of these methods, focussing on connections between them.