Comparing and calibrating discrepancy measures for Bayesian model selection
Tipo de documentoArtículo
Fecha de publicación2012
EditorInstitut d'Estadística de Catalunya
Condiciones de accesoAcceso abierto
Different approaches have been considered in the literatur e for the problem of Bayesian model selection. Recently, a new method was introduced and analys ed in De la Horra (2008) by minimizing the posterior expected discrepancy between the set of data and the Bayesian model, where the chi-square discrepancy was used. In this article, several discrepancy measures are considered and compared by simulation, and it is obtained th at the chi-square discrepancy is reasonable to use. Then, an easy method for calibrating disc repancies is proposed, and the behaviour of this approach is studied on simulated data. Fin ally, a set of real data is analysed
CitaciónHorra, Julián de la; Rodríguez-Bernal, María Teresa. Comparing and calibrating discrepancy measures for Bayesian model selection. "SORT", vol. 36, núm. 1, p. 69-80.