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Bayesian comparison of models with inequality and equality constraints

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  • Oh, Man-Suk

Abstract

A Bayesian model selection procedure for comparing models subject to inequality and/or equality constraints is proposed. An encompassing prior approach is used, and a general form of the Bayes factor of a constrained model against the encompassing model is derived. A simple estimation method is proposed which can estimate the Bayes factors for all candidate models simultaneously by using one set of samples from the encompassing model. A simulation study and a real data analysis demonstrate performance of the method.

Suggested Citation

  • Oh, Man-Suk, 2014. "Bayesian comparison of models with inequality and equality constraints," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 176-182.
    • Handle: RePEc:eee:stapro:v:84:y:2014:i:c:p:176-182
    DOI: 10.1016/j.spl.2013.10.005
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    References listed on IDEAS

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