Consistency of Bayes factor for nonnested model selection when the model dimension grows (Q726729): Difference between revisions

The paper under review investigates Bayes factor consistency associated with Zellner's g-prior for the problem of comparing nonnested linear models with a growing number of parameters under three selected asymptotic scenarios of the model dimension growth with the sample size. Specifically, the authors compare the asymptotic results between the proposed Bayes factor and the intrinsic Bayes factor due to \textit{F. J. Girón} et al. [Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat., RACSAM 104, No. 1, 57--67 (2010; Zbl 1193.62036)]. Some of the obtained results generalize the ones of the Bayes factor for the case of nested linear models in [\textit{M. Wang} and \textit{X. Sun}, J. Stat. Plann. Inference 147, 95--105 (2014; Zbl 1432.62216)].