Abstract
A Bayesian model selection procedure for comparing models subject to inequality and/or equality constraints is proposed. An encompassing prior approach is used, and a general form of the Bayes factor of a constrained model against the encompassing model is derived. A simple estimation method is proposed which can estimate the Bayes factors for all candidate models simultaneously by using one set of samples from the encompassing model. A simulation study and a real data analysis demonstrate performance of the method.
Original language | English |
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Pages (from-to) | 176-182 |
Number of pages | 7 |
Journal | Statistics and Probability Letters |
Volume | 84 |
Issue number | 1 |
DOIs | |
State | Published - Jan 2014 |
Keywords
- ANOVA
- Bayes factor
- Multiple test
- Order constraints