Bayesian model selection based on parameter estimates from subsamples

DOI10.1016/j.spl.2012.12.020zbMath1489.62293OpenAlexW2018953626MaRDI QIDQ1950737

Wenxin Jiang, Jingsi Zhang, Xiao-Feng Shao

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.12.020

zbMATH Keywords

consistencymodel selectionBayes factorself-normalizationSchwarz's Bayesian information criterion (BIC)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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