Sensitivity of the fractional Bayes factor to prior distributions (2000)
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BibTeX
@MISC{Conigliani00sensitivityof,
author = {Caterina Conigliani and Anthony O'Hagan},
title = {Sensitivity of the fractional Bayes factor to prior distributions},
year = {2000}
}
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Abstract
The authors derive a measure of the sensitivity of the fractional Bayes factor, an index which is used to compare models when the priors for their respective parameters are improper, or when there is concern about robustness of the prior specification. They prove that in a large class of problems, this measure is a decreasing function of the fraction of the sample used to update the prior distribution before the models are compared. R ESUM E Les auteurs proposent une mesure de la sensibilite du facteur de Bayes fractionnaire, un indice de comparaison de modeles employe lorsque l'on s'inquiete de la robustesse des lois a priori sur les parametres ou que celles-ci sont impropres. Ils demontrent que dans beaucoup de situations, cette mesure decrot comme fonction de la fraction de l'echantillon utilisee pour mettre a jour les lois a priori avant de comparer les modeles. 1. INTRODUCTION Suppose we are comparing two models, M 1 and M 2 , and let f i (x | # i )and# 0 i be respectively ...
