A New Zellner’s g-Prior for Bayesian Model Averaging in Regression Analysis
| dc.contributor.author | Ogundeji, Rotimi | |
| dc.contributor.author | Adeleke, Ismaila | |
| dc.contributor.author | Okafor, Ray | |
| dc.date.accessioned | 2019-09-19T15:29:56Z | |
| dc.date.available | 2019-09-19T15:29:56Z | |
| dc.date.issued | 2018 | |
| dc.description.abstract | In regression analysis, one of the main challenges is selecting a single model among competing models when making inferences. Likewise, the issue of the choice of prior distribution has been delicate in data analysis. Informative prior distributions related to a natural conjugate prior specification are investigated under a limited choice of a single scalar hyperparameter called g-prior, which corresponds to the degree of prior uncertainty on regression coefficients. This research identified a set of 11 candidate default priors (Zellner’s g-priors) prominent in the Literature and applicable in Bayesian model averaging. Some new sets of g-prior structures were investigated with a view to proposing an improved g-prior specification for regression coefficients in Bayesian Model Averaging (BMA) and the predictive performance of these g-priors were compared. Results obtained include the respective prior distributions, posterior distributions and sampling properties of the regression parameters, based on the new set of g-prior structures investigated. Also, empirical findings revealed that the proposed g-prior structure exhibited equally competitive and consistent predictive ability when compared with identified g-prior structures from the Literature. | en_US |
| dc.description.sponsorship | Self | en_US |
| dc.identifier.citation | Ogundeji, R. (2018). A New Zellner’s g-Prior for Bayesian Model Averaging in Regression Analysis. Journal of Scientific Research and Development, 18(1), 51-60. | en_US |
| dc.identifier.uri | https://ir.unilag.edu.ng/handle/123456789/5758 | |
| dc.language.iso | en | en_US |
| dc.publisher | Faculty of Science, University of Lagos, Lagos, Nigeria. | en_US |
| dc.subject | Bayesian Regression | en_US |
| dc.subject | Model Uncertainty | en_US |
| dc.subject | Normal Linear Model | en_US |
| dc.subject | Predictive Performance | en_US |
| dc.subject | Prior Elicitation | en_US |
| dc.subject | Zellner’s g-Priors | en_US |
| dc.title | A New Zellner’s g-Prior for Bayesian Model Averaging in Regression Analysis | en_US |
| dc.type | Article | en_US |