Robust Bayesian model selection
This paper extends the robust Bayesian inference in misspecified models of Müller (2013, Econometrica) to Bayesian model selection of a set of misspecified models. It is shown that when a model is misspecified, under the Kullback-Leibler loss function, the risk associated with Müller's posterio...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2013
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2112 https://ink.library.smu.edu.sg/context/soe_research/article/3112/viewcontent/Robust_Bayesian_model_selection_2013.pdf |
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| Institution: | Singapore Management University |
| Language: | English |