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A note on Bayesian model selection for discrete data using proper scoring rules. (English) Zbl 1379.62022
Summary: 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.

62F15 Bayesian inference
62A01 Foundations and philosophical topics in statistics
62C99 Statistical decision theory
Full Text: DOI arXiv
[1] Dawid, A. P., Posterior model probabilities, (Bandyopadhyay, P. S.; Forster, M., Philosophy of Statistics, (2011), Elsevier New York), 607-630
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[5] Parry, M. F.; Dawid, A. P.; Lauritzen, S. L., Proper local scoring rules, Ann. Statist., 40, 561-592, (2012) · Zbl 1246.62011
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