@techreport{a475f86dfeed4748bb7cf84d3ebdfd5e,
title = "Bayesian Model Discrimination and Bayes Factors for Normal Linear State Space Models",
abstract = "It is suggested to discriminate between different state space models for a given time series by means of a Bayesian approach which chooses the model that minimizes the expected loss. Practical implementation of this procedures requires a fully Bayesian analysis for both the state vector and the unknown hyperparameters which is carried out by Markov chain Monte Carlo methods. Application to some non-standard situations such as testing hypotheses on the boundary of the parameter space, discriminating non-nested models and discrimination of more than two models is discussed in detail. (author's abstract)",
author = "Sylvia Fr{\"u}hwirth-Schnatter",
year = "1993",
doi = "10.57938/a475f86d-feed-4748-bb7c-f84d3ebdfd5e",
language = "English",
series = "Forschungsberichte / Institut f{\"u}r Statistik",
number = "33",
publisher = "Department of Statistics and Mathematics, WU Vienna University of Economics and Business",
edition = "May 1993",
type = "WorkingPaper",
institution = "Department of Statistics and Mathematics, WU Vienna University of Economics and Business",
}