The choice of variables in multivariate regression: a non-conjugate Bayesian decision theory approach
多元回归变量选择的非共轭贝叶斯决策论方法
We consider the choice of explanatory variables in multivariate linear regression. Our approach balances prediction accuracy against costs attached to variables in a multivariate version of a decision theory approach pioneered by Lindley (1968). We also employ a non-conjugate proper prior distribution for the parameters of the regression model, extending the standard normal-inverse Wishart by adding a component of error which is unexplainable by any number of predictor…