Bayesian Model Selection and Model Averaging

Larry Wasserman


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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