Bayesian comparison of models with inequality and equality constraints

Man-Suk Oh

Statistics & Probability Letters, 2014, vol. 84, issue C, 176-182

Abstract: A Bayesian model selection procedure for comparing models subject to inequality and/or equality constraints is proposed. An encompassing prior approach is used, and a general form of the Bayes factor of a constrained model against the encompassing model is derived. A simple estimation method is proposed which can estimate the Bayes factors for all candidate models simultaneously by using one set of samples from the encompassing model. A simulation study and a real data analysis demonstrate performance of the method.

Keywords: Multiple test; Bayes factor; Order constraints; ANOVA (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715213003398
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:84:y:2014:i:c:p:176-182

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2013.10.005

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().