Garthwaite, Paul H. and Dickey, James M.
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|DOI (Digital Object Identifier) Link:||http://doi.org/10.1214/aos/1176348886|
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This paper addresses the problem of quantifying expert opinion about a normal linear regression model when there is uncertainty as to which independent variables should be included in the model. Opinion is modeled as a mixture of natural conjugate prior distributions with each distribution in the mixture corresponding to a different subset of the independent variables. It is shown that for certain values of the independent variables, the predictive distribution of the dependent variable simplifies from a mixture of -distributions to a single -distribution. Using this result, a method of eliciting the conjugate distributions of the mixture is developed. The method is illustrated in an example.
|Item Type:||Journal Article|
|Copyright Holders:||1992 Annals of Statistics|
|Keywords:||probability assessment methods; probability elicitation; prior distribution; variable selection; linear regression|
|Academic Unit/Department:||Faculty of Science, Technology, Engineering and Mathematics (STEM) > Mathematics and Statistics
Faculty of Science, Technology, Engineering and Mathematics (STEM)
|Depositing User:||Sara Griffin|
|Date Deposited:||21 Aug 2009 13:48|
|Last Modified:||05 Oct 2016 05:36|
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