Baragatti, M.; Pommeret, D. - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1920-1934
In the Bayesian stochastic search variable selection framework, a common prior distribution for the regression coefficients is the g-prior of Zellner. However there are two standard cases where the associated covariance matrix does not exist and the conventional prior of Zellner cannot be used:...