Bayesian variable selection in high dimensional problems without assumptions on prior model probabilities
11 Jul 2016
•
Berger James O.
•
Garcia-Donato Gonzalo
•
Martinez-Beneito Miguel A.
•
Peña Victor
We consider the problem of variable selection in linear models when $p$, the
number of potential regressors, may exceed (and perhaps substantially) the
sample size $n$ (which is possibly small)...