Divergent Priors and Well Behaved Bayes Factors

• Autorzy: Rodney W. Strachan , Herman K. van Dijk
• Języki publikacji: EN

Abstrakty

EN

Bartlett's paradox has been taken to imply that using improper priors results in Bayes factors that are not well defined, preventing model comparison in this case. We use well understood principles underlying what is already common practice, to demonstrate that this implication is not true for some improper priors, such as the Shrinkage prior due to Stein (1956). While this result would appear to expand the class of priors that may be used for computing posterior odds, we warn against the straightforward use of these priors. Highlighting the role of the prior measure in the behaviour of Bayes factors, we demonstrate pathologies in the prior measures for these improper priors. Using this discussion, we then propose a method of employing such priors by setting rules on the rate of diffusion of prior certainty. (original abstract)

Słowa kluczowe

EN

Bayesian inference; Econometric models; Bayes factor

PL

Wnioskowanie bayesowskie; Modele ekonometryczne; Czynnik Bayesa

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2014
• Tom: 6
• Numer: nr 1
• Strony: 1--31

Twórcy

autor

Rodney W. Strachan

• School of Economics, University of Queensland

autor

Herman K. van Dijk

• Econometric Institute, Erasmus University Rotterdam

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2014.119228