Approximations and consistency of Bayes factors as model dimension grows


Journal Article

Stone (J. Roy. Statist. Soc. Ser. B 41 (1979) 276) showed that BIC can fail to be asymptotically consistent. Note, however, that BIC was developed as an asymptotic approximation to Bayes factors between models, and that the approximation is valid only under certain conditions. The counterexample of Stone arises in situations in which BIC is not an adequate approximation. We develop some new approximations to Bayes factors, that are valid for the situation considered in Stone (1979) and discuss related issues of consistency. © 2002 Elsevier Science B.V. All rights reserved.

Full Text

Duke Authors

Cited Authors

  • Berger, JO; Ghosh, JK; Mukhopadhyay, N

Published Date

  • March 1, 2003

Published In

Volume / Issue

  • 112 / 1-2

Start / End Page

  • 241 - 258

International Standard Serial Number (ISSN)

  • 0378-3758

Digital Object Identifier (DOI)

  • 10.1016/S0378-3758(02)00336-1

Citation Source

  • Scopus