Objective Bayesian Model Selection in Generalized Additive Models With Penalized Splines

The methodology is based on a combination of continuous mixtures of g -priors for model parameters and a multiplicity-correction prior for the models themselves. We introduce our approach in the normal model and extend it to nonnormal exponential families.

A simulation study and an application with binary outcome is provided. An efficient implementation is available in the R package hypergsplines. Supplementary materials for this article are available online.