Disapprobation between Bayesian Inferences: Definition and Examples

Frédéric Jouneau
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Frédéric Jouneau: CORE, Université catholique de Louvain and Lille III Gremars.

No 1996028, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: The notion of disapprobation is defined. It is designed to capture some features of misspecification in a decision-theoretic framework. Moreover it is a sample-based notion so it is well-suited for the study of misspecification in Bayesian contexts. Some elementary examples of disapprobation are given. Bernoulli experiments are theoretically studied and the concept is implemented on real data for Gaussian linear regressions.

Date: 1996-05-01
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1996028

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