
11
In Sear ch of Optimal Objective Priors for
Model Selection and Estimation
Jyotishka Datta
Duke University
Jayanta K. Ghosh
Purdue University and Indian S tatistical Institute
CONTENTS
11.1 Intro ductio n . . . . . . . . .. . . . . . .. .. . . . . . .. . . .. . . . .. . . .. . . . .. .. . . . .. .. . 225
11.2 The Optimal Prior . .. . . . . . . . .. . . .. . .. .. .. . . . .. . . .. . . . .. .. .. . . . . . . 227
11.3 Shrinkage Pr iors . . . . .. . . .. . . . .. . . .. . .. . . .. . . . .. . . .. . . . . . .. .. . . . . . 228
11.4 The Lasso Based Priors . . . .. . . . . . . . .. . . .. . .. .. . . . . . .. .. .. . . . .. .. . 22 9
11.5 Numerica l Results ...