Approximating the Bayes factor

Based on a reparametrization of the Gaussian density and a natural prior for the parameters, a Bayesian model selection criterion is derived, which differs from Schwarz' (1978) criterion by a term which does not vanish as the sample size increases.

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Year of publication:	1996
Authors:	Reschenhofer, Erhard
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 30.1996, 3, p. 241-245
Publisher:	Elsevier
Keywords:	Model selection Penalty term BIC Uniform prior

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211812