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On the consistency of the objective Bayes factor for the integral priors in the one-way random effects model

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  • Kang, Shuaimin
  • Wang, Min
  • Lu, Tao

Abstract

The Bayes factor for the integral priors in the one-way random effects model has recently been developed by Cano et al. (2007). We establish the consistency of this Bayes factor when the number of groups goes to infinity, when the number of observations per group goes to infinity, and when both go to infinity.

Suggested Citation

  • Kang, Shuaimin & Wang, Min & Lu, Tao, 2015. "On the consistency of the objective Bayes factor for the integral priors in the one-way random effects model," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 17-23.
    • Handle: RePEc:eee:stapro:v:103:y:2015:i:c:p:17-23
    DOI: 10.1016/j.spl.2015.03.013
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    References listed on IDEAS

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    1. Fernandez, Carmen & Ley, Eduardo & Steel, Mark F. J., 2001. "Benchmark priors for Bayesian model averaging," Journal of Econometrics, Elsevier, vol. 100(2), pages 381-427, February.
    2. Liang, Feng & Paulo, Rui & Molina, German & Clyde, Merlise A. & Berger, Jim O., 2008. "Mixtures of g Priors for Bayesian Variable Selection," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 410-423, March.
    3. Min Wang & Xiaoqian Sun, 2014. "Bayes Factor Consistency for One-way Random Effects Model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(23), pages 5072-5090, December.
    4. J. Cano & D. Salmerón & C. Robert, 2008. "Integral equation solutions as prior distributions for Bayesian model selection," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(3), pages 493-504, November.
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