We consider homogeneous scoring rules for selecting between Bayesian models for discrete data with possibly improper priors. Simulations indicate that, applied prequentially, the method will consistently select the true model.
A note on Bayesian model selection for discrete data using proper scoring rules
Musio, Monica;Columbu, Silvia
2017-01-01
Abstract
We consider homogeneous scoring rules for selecting between Bayesian models for discrete data with possibly improper priors. Simulations indicate that, applied prequentially, the method will consistently select the true model.
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