In the Bayesian approach to parametric model comparison, the use of improper priors is problematic due to the indeterminacy of the resulting Bayes factor (BF). The need for developing automatic and robust methods for model comparison has led to the introduction of alternative BFs. Intrinsic Bayes factors (Berger and Pericchi, 1996a) and fractional Bayes factors (FBF) (O'Hagan, 1995) are two alternative strategies for default model selection. We show in this paper that the FBF can be inconsistent. To overcome this problem, we propose a generalization of the FBF approach that leads to the usual FBF or to some variants of it in some special cases. As an important problem, we consider and discuss this generalization for model selection in nested linear models. (C) 2001 Elsevier Science B.V. All rights reserved.
Consistent fractional Bayes factor for nested normal linear models / DE SANTIS, Fulvio; Fulvio, Spezzaferri. - In: JOURNAL OF STATISTICAL PLANNING AND INFERENCE. - ISSN 0378-3758. - STAMPA. - 97:2(2001), pp. 305-321. [10.1016/s0378-3758(00)00240-8]
Consistent fractional Bayes factor for nested normal linear models
DE SANTIS, Fulvio;
2001
Abstract
In the Bayesian approach to parametric model comparison, the use of improper priors is problematic due to the indeterminacy of the resulting Bayes factor (BF). The need for developing automatic and robust methods for model comparison has led to the introduction of alternative BFs. Intrinsic Bayes factors (Berger and Pericchi, 1996a) and fractional Bayes factors (FBF) (O'Hagan, 1995) are two alternative strategies for default model selection. We show in this paper that the FBF can be inconsistent. To overcome this problem, we propose a generalization of the FBF approach that leads to the usual FBF or to some variants of it in some special cases. As an important problem, we consider and discuss this generalization for model selection in nested linear models. (C) 2001 Elsevier Science B.V. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.