Ioannis Ntzoufras

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On Bayesian Model and Variable Selection Using MCMC

P. Dellaportas, J.J. Forster and I. Ntzoufras (2002)

Statistics and Computing, 12, 27-36

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.

Keywords: Gibbs Sampler; Independence Sampler; Metropolis-Hastings; Reversible Jump.

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