On the asymptotic stability of the intrinsic and fractional Bayes factors for testing some diffusion models

DOI10.1023/A:1022402925337zbMath1023.62038OpenAlexW1480298717MaRDI QIDQ1868268

Rama T. Lingham, Siva Sivaganesan

Publication date: 27 April 2003

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022402925337

zbMATH Keywords

Wiener processlocal asymptotic normalityGirsanov formulamean-reversionintrinsic Bayes factorJeffreys priorfractional Bayes factor

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: hypothesis testing (62M02)

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