Bayesian variable selection redux
After a rather long interlude, and just in time for the six month deadline!, we (Gilles Celeux, Mohammed El Anbari, Jean-Michel Marin and myself) have resubmitted (and rearXived) our comparative study of Bayesian and non-Bayesian variable selections procedures to Bayesian Analysis. Why it took us so long is a combination of good and bad reasons: besides being far apart, between Morocco, Paris and Montpellier, and running too many projects at once with Jean-Michel (including the Bayesian Core revision that did not move much since last summer!), we came to realise that my earlier strong stance that invariance on the intercept did not matter was not right and that the (kind) reviewers were correct about the asymptotic impact of the scale of the intercept on the variable selection, so we had first to reconvene and think about it, before running another large round of simulations. We hope the picture is now clearer.