scholarly journals Objective Bayes model selection in probit models

2011 ◽  
Vol 31 (4) ◽  
pp. 353-365 ◽  
Author(s):  
Luis Leon-Novelo ◽  
Elías Moreno ◽  
George Casella
1994 ◽  
Vol 10 (3-4) ◽  
pp. 774-808 ◽  
Author(s):  
Peter C.B. Phillips ◽  
Werner Ploberger

The Kalman filter is used to derive updating equations for the Bayesian data density in discrete time linear regression models with stochastic regressors. The implied “Bayes model” has time varying parameters and conditionally heterogeneous error variances. A σ-finite Bayes model measure is given and used to produce a new-model-selection criterion (PIC) and objective posterior odds tests for sharp null hypotheses like the presence of a unit root. This extends earlier work by Phillips and Ploberger [18]. Autoregressive-moving average (ARMA) models are considered, and a general test of trend-stationarity versus difference stationarity is developed in ARMA models that allow for automatic order selection of the stochastic regressors and the degree of the deterministic trend. The tests are completely consistent in that both type I and type II errors tend to zero as the sample size tends to infinity. Simulation results and an empirical application are reported. The simulations show that the PIC works very well and is generally superior to the Schwarz BIC criterion, even in stationary systems. Empirical application of our methods to the Nelson-Plosser [11] series show that three series (unemployment, industrial production, and the money stock) are level- or trend-stationary. The other eleven series are found to be stochastically nonstationary.


2017 ◽  
Vol 44 (3) ◽  
pp. 741-764 ◽  
Author(s):  
Guido Consonni ◽  
Luca La Rocca ◽  
Stefano Peluso

2013 ◽  
Vol 28 (1) ◽  
pp. 95-115 ◽  
Author(s):  
Ritabrata Dutta ◽  
Jayanta K. Ghosh

1991 ◽  
Vol 30 (01) ◽  
pp. 15-22 ◽  
Author(s):  
A. Gammerman ◽  
A. R. Thatcher

The paper describes an application of Bayes’ Theorem to the problem of estimating from past data the probabilities that patients have certain diseases, given their symptoms. The data consist of hospital records of patients who suffered acute abdominal pain. For each patient the records showed a large number of symptoms and the final diagnosis, to one of nine diseases or diagnostic groups. Most current methods of computer diagnosis use the “Simple Bayes” model in which the symptoms are assumed to be independent, but the present paper does not make this assumption. Those symptoms (or lack of symptoms) which are most relevant to the diagnosis of each disease are identified by a sequence of chi-squared tests. The computer diagnoses obtained as a result of the implementation of this approach are compared with those given by the “Simple Bayes” method, by the method of classification trees (CART), and also with the preliminary and final diagnoses made by physicians.


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