Bayesian optimal designs for discriminating between non-Normal models

Chiara Tommasi and Jesus Lopez Fidalgo
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Chiara Tommasi: University of Milano
Jesus Lopez Fidalgo: University of Castilla La Mancha (Spain)

No unimi-1055, UNIMI - Research Papers in Economics, Business, and Statistics from Universitá degli Studi di Milano

Abstract: Designs are found for discriminating between two non-Normal models in the presence of prior information. The KL-optimality criterion, where the true model is assumed to be completely known, is extended to a criterion where prior distributions of the parameters and a prior probability of each model to be true are assumed. Concavity of this criterion is proved. Thus, the results of optimal design theory apply in this context and optimal designs can be constructed and checked by the General Equivalence Theorem. Some illustrative examples are provided.

Keywords: KL-optimum designs; discrimination between models (search for similar items in EconPapers)
Date: 2007-05-08
Note: oai:cdlib1:unimi-1055
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