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A note on Bayesian model selection for discrete data using proper scoring rules

Author

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  • Dawid, A. Philip
  • Musio, Monica
  • Columbu, Silvia

Abstract

We consider homogeneous scoring rules for selecting between Bayesian models for discrete data with possibly improper priors. Simulations indicate that, applied prequentially, the method will consistently select the true model.

Suggested Citation

  • Dawid, A. Philip & Musio, Monica & Columbu, Silvia, 2017. "A note on Bayesian model selection for discrete data using proper scoring rules," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 101-106.
  • Handle: RePEc:eee:stapro:v:129:y:2017:i:c:p:101-106
    DOI: 10.1016/j.spl.2017.05.010
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    Cited by:

    1. Chen, Su & Walker, Stephen G., 2023. "A New Statistic for Bayesian Hypothesis Testing," Econometrics and Statistics, Elsevier, vol. 26(C), pages 139-152.
    2. Elías Moreno & Carmen Martínez & Francisco–José Vázquez–Polo, 2021. "Objective Bayesian model choice for non-nested families: the case of the Poisson and the negative binomial," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(1), pages 255-273, March.

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