On the Asymptotic Stability of the Intrinsic and Fractional Bayes Factors for Testing Some Diffusion Models

S. Sivaganesan and Rama Lingham

Annals of the Institute of Statistical Mathematics, 2002, vol. 54, issue 3, 500-516

Keywords: Fractional Bayes factor; Girsanov formula; intrinsic Bayes factor; Jeffreys prior; local asymptotic normality; mean-reversion; Wiener process (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1022402925337

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