Variable selection: empirical Bayes vs. fully Bayes
| dc.contributor.advisor | Shively, Thomas S. | en |
| dc.contributor.advisor | George, Edward I. | en |
| dc.creator | Cui, Wen | en |
| dc.date.accessioned | 2008-08-28T21:25:14Z | en |
| dc.date.available | 2008-08-28T21:25:14Z | en |
| dc.date.issued | 2002 | en |
| dc.description.abstract | For the problem of variable selection for the normal linear model, fixed penalty selection criteria such as AIC, Cp, BIC and RIC correspond to the posterior modes of a hierarchical Bayes model for various fixed hyperparameter settings. Adaptive selection criteria obtained by empirical Bayes estimation of the hyperparameters have been shown by George and Foster (2000) to improve on these fixed selection criteria. In this research, we study the potential of alternative fully Bayes methods, which instead margin out the hyperparameters with respect to prior distributions. Several structured prior formulations are considered, and a variety of fully Bayes selection and estimation methods are obtained. Extensive comparisons with their empirical Bayes counterparts suggest that the empirical Bayes methods perform extremely well in spite of their know inadmissibility. | |
| dc.description.department | Business Administration | en |
| dc.format.medium | electronic | en |
| dc.identifier | b56740530 | en |
| dc.identifier.oclc | 56017027 | en |
| dc.identifier.proqst | 3099445 | en |
| dc.identifier.uri | http://hdl.handle.net/2152/530 | en |
| dc.language.iso | eng | en |
| dc.rights | Copyright is held by the author. Presentation of this material on the Libraries' web site by University Libraries, The University of Texas at Austin was made possible under a limited license grant from the author who has retained all copyrights in the works. | en |
| dc.subject.lcsh | Bayesian statistical decision theory | en |
| dc.title | Variable selection: empirical Bayes vs. fully Bayes | en |
| dc.type.genre | Thesis | en |
| thesis.degree.department | Business Administration | en |
| thesis.degree.discipline | Business Administration | en |
| thesis.degree.grantor | The University of Texas at Austin | en |
| thesis.degree.level | Doctoral | en |
| thesis.degree.name | Doctor of Philosophy | en |