Bayesian Model Selection and Model Averaging
This paper reviews the Bayesian approach
to model selection and model averaging.
In this review, I emphasize objective Bayesian
methods based on noninformative priors.
I will also discuss implementation details,
approximations and relationships to other methods.
Keywords: AIC, Bayes Factors, BIC, Consistency,
Default Bayes Methods, Markov Chain Monte Carlo.
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