Bayesian model selection based on parameter estimates from subsamples

DOI10.1016/J.SPL.2012.12.020MaRDI QIDQ1950737zbMATH OpenOpenAlexFDO

Authors J. S. Zhang, Wenxin Jiang, Xiaofeng 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

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)

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Cites work

• scientific article; zbMATH DE number 3433376 (Why is no real title available?)
• t-Statistic Based Correlation and Heterogeneity Robust Inference
• A self-normalized approach to confidence interval construction in time series
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Bayes Factors Based on Test Statistics
• Bayesian model selection using test statistics
• 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
• Consistent model selection based on parameter estimates.
• Convergence of stochastic processes
• Estimating the dimension of a model
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Proper likelihoods for Bayesian analysis
• Simple Robust Testing of Regression Hypotheses
• TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
• Testing That a Dependent Process Is Uncorrelated
• Time Series Regression with a Unit Root

Cited in

(7)

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

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