Bayesian Goodness-of-Fit Testing with Mixtures of Triangular Distributions

Ross Mcvinish (1) , Judith Rousseau (2, 3) , Kerrie Mengersen (1)

1 school of mathematical sciences
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
3 CREST - Centre de Recherche en Économie et Statistique

We consider the consistency of the Bayes factor in goodness of fit testing for a parametric family of densities against a non-parametric alternative. Sufficient conditions for consistency of the Bayes factor are determined and demonstrated with priors using certain mixtures of triangular densities.

Mots clés: Bayesian non-parametrics; consistency; goodness of fit

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Ross Mcvinish, Judith Rousseau, Kerrie Mengersen. Bayesian Goodness-of-Fit Testing with Mixtures of Triangular Distributions. Scandinavian Journal of Statistics, 2009, pp.10.1111/j.1467-9469.2008.00620.x. ⟨10.1111/j.1467-9469.2008.00620.x⟩. ⟨hal-00361410⟩