Bayes Factors and Choice Criteria for Linear Models

Abstract

Summary Global and local Bayes factors are defined and their respective roles examined as choice criteria among alternative linear models. The global Bayes factor is seen to function, in appropriate contexts, as a fully automatic Occam's razor and to be closely related to the Schwarz model choice criterion. The local Bayes factor is shown to have a close relationship with the Akaike Information Criterion.