- Tytuł:
- Divergent Priors and Well Behaved Bayes Factors
- Autorzy:
-
Strachan, Rodney W.
van Dijk, Herman K. - Powiązania:
- https://bibliotekanauki.pl/articles/483279.pdf
- Data publikacji:
- 2014
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
improper prior
Bayes factor
marginal likelihood
shrinkage prior
measure - Opis:
- 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.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2014, 1; 1-31
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł