Objective Bayesian Model Selection in Generalised Additive Models with Penalised 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 non-normal exponential families.

A simulation study and an application with binary outcome is provided. An efficient implementation is available in the R-package “hypergsplines”.