Deriving Proper Uniform Priors for Regression Coefficients, Part II

Abstract

It is a relatively well-known fact that in problems of Bayesian model selection improper priors should, in general, be avoided. In this paper we derive a proper and parsimonious uniform prior for regression coefficients. We then use this prior to derive the corresponding evidence values of the regression models under consideration. By way of these evidence values one may proceed to compute the posterior probabilities of the competing regression models.