The Deviance Information Criterion in Comparison of Normal Mixing Models

Thomas Fung, Joanna J.J. Wang and Eugene Seneta

International Statistical Review, 2014, vol. 82, issue 3, 411-421

Abstract: type="main" xml:id="insr12063-abs-0001"> Model selection from several non-nested models by using the deviance information criterion within Bayesian inference Using Gibbs Sampling (BUGS) software needs to be treated with caution. This is particularly important if one can specify a model in various mixing representations, as for the normal variance-mean mixing distribution occurring in financial contexts. We propose a procedure to compare goodness of fit of several non-nested models, which uses BUGS software in part.

Date: 2014
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