The power-expected-posterior prior is used in this paper for comparing nested linear models.The asymptotic behaviour of the method is investigated for different values of the power parameter of the prior.Focus is give...The power-expected-posterior prior is used in this paper for comparing nested linear models.The asymptotic behaviour of the method is investigated for different values of the power parameter of the prior.Focus is given on the consistency of the Bayes factor of comparing the full model M_(p) versus a generic submodel M_(l).In each case,we allow the true generating model to be either M_(p) or M_(l) and we keep the dimension of M_(l) fixed,while the dimension of M_(p) can be either fixed or(grow as)O(n),with n denoting the sample size.展开更多
文摘The power-expected-posterior prior is used in this paper for comparing nested linear models.The asymptotic behaviour of the method is investigated for different values of the power parameter of the prior.Focus is given on the consistency of the Bayes factor of comparing the full model M_(p) versus a generic submodel M_(l).In each case,we allow the true generating model to be either M_(p) or M_(l) and we keep the dimension of M_(l) fixed,while the dimension of M_(p) can be either fixed or(grow as)O(n),with n denoting the sample size.
