Sensitivity of the fractional Bayes factor to prior distributions

被引：22

作者：

Conigliani, C ^{[1
]}

O'Hagan, A ^{[1
]}

机构：

[1] Univ Roma Tre, Dipartimento Econ, I-00154 Rome, Italy

来源：

CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE | 2000年 / 28卷 / 02期

关键词：

fractional Bayes factor; Gateaux differential; improper priors; sensitivity; training sample;

D O I：

10.2307/3315983

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The authors derive a measure of the sensitivity of the fractional Bayes factor, an index which is used to compare models when the priors for their respective parameters are improper, or when there is concern about robustness of the prior specification. They prove that in a large class of problems, this measure is a decreasing function of the fraction of the sample used to update the prior distribution before the models are compared.

引用

页码：343 / 352

页数：10

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