期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2016
卷号：30
期号：4
页码：691-709
DOI：10.1214/15-BJPS299
语种：English
出版社：Brazilian Statistical Association
摘要：We study the consistency of a Bayesian variable selection procedure for generalized linear models. Specifically, we consider the consistency of a Bayes factor based on $g$-priors proposed by Sabanés Bové and Held [Bayesian Analysis 6 (2011) 387–410]. The integrals necessary for the computation of this Bayes factor are performed with Laplace approximation and Gaussian quadrature. We show that, under certain regularity conditions, the resulting Bayes factor is consistent. Furthermore, a simulation study confirms our theoretical results. Finally, we illustrate this model selection procedure with an application to a real ecological dataset.
