Bayesian linear regression predictive vs probable models
Hi EJ. Can I ask about Bayesian linear regression. I am running this for models with 8-10 predictors. When I use the beta-binomial (1,1) prior, my results have the highest BF for the best predictive model (ie. highest R2) but the highest probability is for a different model. (When I run it when a uniform prior this is not the case). The r scale is 0.5. I have read your most recent preprint and am wondering if this is because beta-binomial prior assignment acts as an automatic correction for multiplicity? So my next question is regarding reporting this in results - do I report both the best predictive model and the highest probability model, or have I done this analysis wrong and my priors are biasing the results? Thankyou very much.