Bayesian model selection based on parameter estimates from subsamples

DOI10.1016/J.SPL.2012.12.020zbMATH Open1489.62293OpenAlexW2018953626MaRDI QIDQ1950737FDOQ1950737

Xiaofeng Shao, Wenxin Jiang, J. S. Zhang

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

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zbMATH Keywords

model selectionconsistencyBayes factorself-normalizationSchwarz's Bayesian information criterion (BIC)

Mathematics Subject Classification ID

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

Cites Work

• Estimating the dimension of a model
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• Convergence of stochastic processes
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• t-Statistic Based Correlation and Heterogeneity Robust Inference
• Testing That a Dependent Process Is Uncorrelated
• A Self-Normalized Approach to Confidence Interval Construction in Time Series
• TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
• Time Series Regression with a Unit Root
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Bayesian Model Selection using Test Statistics
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Bayes Factors Based on Test Statistics
• Simple Robust Testing of Regression Hypotheses
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Proper likelihoods for Bayesian analysis
• Consistent model selection based on parameter estimates.

Cited In (7)

• Approximate Bayesian model selection with the deviance statistic
• Subdata selection algorithm for linear model discrimination
• An index sampling algorithm for the bayesian analysis of a class of model selection problems
• Bayesian Subset Simulation
• Training samples in objective Bayesian model selection.
• An Approach to Incorporate Subsampling Into a Generic Bayesian Hierarchical Model
• BAYESIAN SUBSET SELECTION AND MODEL AVERAGING USING A CENTRED AND DISPERSED PRIOR FOR THE ERROR VARIANCE

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