کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096492 | 1376531 | 2012 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bayesian hypothesis testing in latent variable models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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 algorithm, is introduced to test a point hypothesis in latent variable models. The new statistic is a by-product of the Bayesian MCMC output and, hence, easy to compute. It is shown that the new statistic is appropriately defined under improper priors because the method employs a continuous loss function. In addition, it is easy to interpret. The method is illustrated using a one-factor asset pricing model and a stochastic volatility model with jumps.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 166, Issue 2, February 2012, Pages 237-246
Journal: Journal of Econometrics - Volume 166, Issue 2, February 2012, Pages 237-246
نویسندگان
Yong Li, Jun Yu,