A note on Bayesian model selection for discrete data using proper scoring rules

A. Philip Dawid, Monica Musio and Silvia Columbu

Statistics & Probability Letters, 2017, vol. 129, issue C, 101-106

Abstract: We consider homogeneous scoring rules for selecting between Bayesian models for discrete data with possibly improper priors. Simulations indicate that, applied prequentially, the method will consistently select the true model.

Keywords: Consistent model selection; Homogeneous score; Discrete data; Prequential (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2017.05.010

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