Show simple item record Scott, JG Berger, JO 2011-06-21T17:30:35Z 2010-10-01
dc.identifier.citation Annals of Statistics, 2010, 38 (5), pp. 2587 - 2619
dc.identifier.issn 0090-5364
dc.description.abstract This paper studies the multiplicity-correction effect of standard Bayesian variable-selection priors in linear regression. Our first goal is to clarify when, and how, multiplicity correction happens automatically in Bayesian analysis, and to distinguish this correction from the Bayesian Ockham's-razor effect. Our second goal is to contrast empirical-Bayes and fully Bayesian approaches to variable selection through examples, theoretical results and simulations. Considerable differences between the two approaches are found. In particular, we prove a theorem that characterizes a surprising aymptotic discrepancy between fully Bayes and empirical Bayes. This discrepancy arises from a different source than the failure to account for hyperparameter uncertainty in the empirical-Bayes estimate. Indeed, even at the extreme, when the empirical-Bayes estimate converges asymptotically to the true variable-inclusion probability, the potential for a serious difference remains. © Institute of Mathematical Statistics, 2010.
dc.format.extent 2587 - 2619
dc.language.iso en_US en_US
dc.relation.ispartof Annals of Statistics
dc.relation.isversionof 10.1214/10-AOS792
dc.title Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem
dc.title.alternative en_US
dc.type Journal Article
dc.description.version Version of Record en_US 2010-10-0 en_US
duke.description.endpage 2619 en_US
duke.description.issue 5 en_US
duke.description.startpage 2587 en_US
duke.description.volume 38 en_US
dc.relation.journal Annals of Statistics en_US
pubs.issue 5
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Statistical Science
pubs.publication-status Published
pubs.volume 38

Files in this item

This item appears in the following Collection(s)

Show simple item record