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Bayesian Goodness-of-Fit Testing with Mixtures of Triangular Distributions

Mengersen, Kerrie; Rousseau, Judith; McVinish, Ross (2009), Bayesian Goodness-of-Fit Testing with Mixtures of Triangular Distributions, Scandinavian Journal of Statistics, 36, p. 337-354. http://dx.doi.org/10.1111/j.1467-9469.2008.00620.x

Type
Article accepté pour publication ou publié
External document link
http://hal.archives-ouvertes.fr/hal-00361410/en/
Date
2009
Journal name
Scandinavian Journal of Statistics
Volume
36
Publisher
Wiley-Blackwell
Pages
337-354
Publication identifier
Metadata
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Author(s)
Mengersen, Kerrie

Rousseau, Judith

McVinish, Ross
Abstract (EN)
We consider the consistency of the Bayes factor in goodness of fit testing for a parametric family of densities against a non-parametric alternative. Sufficient conditions for consistency of the Bayes factor are determined and demonstrated with priors using certain mixtures of triangular densities.
Subjects / Keywords
Bayesian non-parametrics; consistency; goodness of fit
JEL
C11 - Bayesian Analysis: General