More on Bayesian model selection in high-dimensional settings
Statistical Modeling, Causal Inference, and Social Science 2013-04-22
Summary:
David Rossell writes: A friend pointed out that you were having an interesting philosophical discussion on my paper with Val Johnson [on Bayesian model selection in high-dimensional settings]. I agree with the view that in almost all practical situations the true model is not in the set under consideration. Still, asking a model choice procedure [...]