On the probability of a model

• Autores: Cesáreo Villegas, Carmillo Martínez, Tim Swartz
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 11, Nº. 2, 2002, págs. 413-438
• Idioma: inglés
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• Resumen

  • The posterior probabilities of $K$ given models when improper priors are used depend on the proportionality constants assigned to the prior densities corresponding to each of the models. It is shown that this assignment can be done using natural geometric priors in multiple regression problems if the normal distribution of the residual errors is truncated. This truncation is a realistic modification of the regression models, and since it will be made far away from the mean, it has no other effect beyond the determination of the proportionality constants, provided that the sample size is not too large. In the case $K=2$, the posterior odds ratio is related to the usual $F$ statistic in ``classical'' statistics. Assuming zero-one losses the optimal selection of a regression model is achieved by maximizing the posterior probability of a submodel. It is shown that the geometric criterion obtained in this way is asymptotically equivalent to Schwarz's asymptotic Bayesian criterion, sometimes called the BIC criterion. An example of polynomial regression is used to provide numerical comparisons between the new geometric criterion, the BIC criterion and the Akaike information criterion.