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Comment on Article by Dawid and Musio

Robert, Christian P.; Grazian, Clara; Masiani, Illaria (2015), Comment on Article by Dawid and Musio, Bayesian Analysis, 10, 2, p. 511-515. 10.1214/15-BA942C

Type
Article accepté pour publication ou publié
External document link
https://arxiv.org/abs/1502.07638
Date
2015
Journal name
Bayesian Analysis
Volume
10
Number
2
Publisher
Pergamon Press
Pages
511-515
Publication identifier
Metadata
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Author(s)
Robert, Christian P.
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Grazian, Clara
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Masiani, Illaria
Abstract (EN)
This note is a discussion of the article “Bayesian model selection based on proper scoring rules” by A. P. Dawid and M. Musio, to appear in Bayesian Analysis. While appreciating the concepts behind the use of proper scoring rules, we point out here some possible practical difficulties with the advocated approach.
Subjects / Keywords
Bayesian model choice; proper scoring rules; Bayes factor