The Deviance Information Criterion in Comparison of Normal Mixing Models |
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| Authors: | Thomas Fung Joanna JJ Wang Eugene Seneta |
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| Institution: | 1. Department of Statistics, Macquarie University, , Sydney, NSW 2109 AustraliaHonorary Associate, University of Sydney.;2. School of Mathematics and Statistics, University of Sydney, , Sydney, NSW 2006 Australia |
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| Abstract: | Model selection from several non‐nested models by using the deviance information criterion within Bayesian inference Using Gibbs Sampling (BUGS) software needs to be treated with caution. This is particularly important if one can specify a model in various mixing representations, as for the normal variance‐mean mixing distribution occurring in financial contexts. We propose a procedure to compare goodness of fit of several non‐nested models, which uses BUGS software in part. |
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| Keywords: | BUGS DIC financial models comparison normal variance‐mean distribution mixing representation Variance‐Gamma distribution |
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