Generalization of Jeffreys divergence-based priors for Bayesian hypothesis testing

DOI10.1111/J.1467-9868.2008.00667.XMaRDI QIDQ4632606zbMATH OpenOpenAlexFDO

Authors M. J. Bayarri, Gonzalo García-Donato

Publication date 30 April 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0801.4224

zbMATH Keywords

Bayes factorsinformation consistencyintrinsic priorsirregular modelsKullback-Leibler divergencemixture models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03)

Abstract: In this paper we introduce objective proper prior distributions for hypothesis testing and model selection based on measures of divergence between the competing models; we call them divergence based (DB) priors. DB priors have simple forms and desirable properties, like information (finite sample) consistency; often, they are similar to other existing proposals like the intrinsic priors; moreover, in normal linear models scenarios, they exactly reproduce Jeffreys-Zellner-Siow priors. Most importantly, in challenging scenarios such as irregular models and mixture models, the DB priors are well defined and very reasonable, while alternative proposals are not. We derive approximations to the DB priors as well as MCMC and asymptotic expressions for the associated Bayes factors.

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