Bayesian comparison of models with inequality and equality constraints

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 prop...

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Bibliographic Details
Published inStatistics & probability letters Vol. 84; pp. 176 - 182
Main Author Oh, Man-Suk
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.01.2014
Subjects
ANOVA
Bayes factor
Multiple test
Order constraints
Bayes factor
Order constraints
ANOVA
Multiple test
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Summary: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.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2013.10.005