Comparing and calibrating discrepancy measures for Bayesian model selection

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Document typeArticle
Defense date2012
PublisherInstitut d'Estadística de Catalunya
Rights accessOpen Access
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Attribution-NonCommercial-NoDerivs 3.0 Spain
Abstract
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
CitationHorra, Julián de la; Rodríguez-Bernal, María Teresa. Comparing and calibrating discrepancy measures for Bayesian model selection. "SORT", vol. 36, núm. 1, p. 69-80.
ISSN1696-2281
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