Bayesian Multiplicity Correction in the Probabilistic Forward Stepwise Framework

Abstract

We develop a natural Bayesian multiplicity-correcting prior distribution within the probabilistic forward stepwise representation of model space priors for regression problems. The proposed prior, obtained from making an analogy to the Holm procedure, exhibits behavior closely aligned with that of the Matryoshka doll prior. We compare both priors to several other priors, including some recently put forward as objective choices for model space prior probabilities. Our comparisons indicate that adequate multiplicity correction requires a degree of sparsity that many recommended priors do not provide, and we argue that multiplicity correction itself offers a principled and transparent criterion for specifying model space priors in regression.