Consistency of Bayes factor for nonnested model selection when the model dimension grows
نویسندگان
چکیده
منابع مشابه
Consistency of Objective Bayes Factors as the Model Dimension Grows
In the class of normal regression models with a finite number of regressors, and for a wide class of prior distributions, a Bayesian model selection procedure based on the Bayes factor is consistent [Casella and Moreno J. Amer. Statist. Assoc. 104 (2009) 1261–1271]. However, in models where the number of parameters increases as the sample size increases, properties of the Bayes factor are not t...
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Nonnested Model Selection Criteria
This paper studies model selection for a general class of models based on minimizing random distance functions. The proposed model selection criteria are consistent, regardless of whether models are nested or nonnested and regardless of whether models are correctly specified or not, in the sense that they select the best model with the least number of parameters with probability converging to 1...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2016
ISSN: 1350-7265
DOI: 10.3150/15-bej720