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On the Asymptotic Stability of the Intrinsic and Fractional Bayes Factors for Testing Some Diffusion Models

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  • S. Sivaganesan
  • Rama Lingham

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  • S. Sivaganesan & Rama Lingham, 2002. "On the Asymptotic Stability of the Intrinsic and Fractional Bayes Factors for Testing Some Diffusion Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(3), pages 500-516, September.
    • Handle: RePEc:spr:aistmt:v:54:y:2002:i:3:p:500-516
    DOI: 10.1023/A:1022402925337
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    References listed on IDEAS

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    1. A. O’Hagan, 1997. "Properties of intrinsic and fractional Bayes factors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 6(1), pages 101-118, June.
    2. Sivaganesan, S. & Lingham, Rama T., 2000. "Bayes factors for a test about the drift of the Brownian motion under noninformative priors," Statistics & Probability Letters, Elsevier, vol. 48(2), pages 163-171, June.
    3. Polson, Nicholas G. & Roberts, Gareth O., 1993. "A utility based approach to information for stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 48(2), pages 341-356, November.
    4. Rama Lingham & S. Sivaganesan, 1997. "Testing Hypotheses About the Power Law Process Under Failure Truncation Using Intrinsic Bayes Factors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(4), pages 693-710, December.
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