Bayesian Hypothesis Testing in Latent Variable Models

• المؤلفون الرئيسيون: LI, Yong, YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2012
• الموضوعات: Bayes factors; Kullback-Leibler divergence; Decision theory; EM algorithm; Markov chain Monte Carlo; Econometrics; Finance
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1316; https://ink.library.smu.edu.sg/context/soe_research/article/2315/viewcontent/YuJOE2012B.pdf

Hypothesis testing using Bayes factors (BFs) is known not to be well defined under the improper prior. In the context of latent variable models, an additional problem with BFs is that they are difficult to compute. In this paper, a new Bayesian method, based on the decision theory and the EM algorit...