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Approximating the Bayes factor

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  • Reschenhofer, Erhard

Abstract

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.

Suggested Citation

  • Reschenhofer, Erhard, 1996. "Approximating the Bayes factor," Statistics & Probability Letters, Elsevier, vol. 30(3), pages 241-245, October.
    • Handle: RePEc:eee:stapro:v:30:y:1996:i:3:p:241-245
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    References listed on IDEAS

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    1. Phillips, Peter C.B. & Ploberger, Werner, 1994. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 774-808, August.
    2. Chow, Gregory C., 1981. "A comparison of the information and posterior probability criteria for model selection," Journal of Econometrics, Elsevier, vol. 16(1), pages 21-33, May.
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    Cited by:

    1. Erhard Reschenhofer & David Preinerstorfer & Lukas Steinberger, 2013. "Non-monotonic penalizing for the number of structural breaks," Computational Statistics, Springer, vol. 28(6), pages 2585-2598, December.

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