Bayesian model selection based on proper scoring rules

DOI10.1214/15-BA942zbMath1335.62017arXiv1409.5291OpenAlexW3100796400MaRDI QIDQ273612

Monica Musio, A. Philip Dawid

Publication date: 22 April 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.5291

zbMATH Keywords

consistent model selectionhomogeneous scoreHyvärinen scoreprequential

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10)

Related Items (15)

An Invitation to Sequential Monte Carlo Samplers ⋮ The Hyvärinen scoring rule in Gaussian linear time series models ⋮ Bayes factor asymptotics for variable selection in the Gaussian process framework ⋮ Prior distributions for objective Bayesian analysis ⋮ Bayesian quantile regression using the skew exponential power distribution ⋮ Adaptation of the tuning parameter in general Bayesian inference with robust divergence ⋮ An integrated surrogate model constructing method: annealing combinable Gaussian process ⋮ Unnamed Item ⋮ Objective Bayesian inference with proper scoring rules ⋮ Comparison of stochastic frontier models using the Hyvärinen factor ⋮ Theory and applications of proper scoring rules ⋮ Minimax predictive density for sparse count data ⋮ Bayesian Model Comparison with the Hyvärinen Score: Computation and Consistency ⋮ An objective Bayes factor with improper priors ⋮ Unnamed Item

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