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Research Article Open access CC BY 4.0

On Model Comparison: Application of Savage-Dickey Density Ratio to Bayes Factor

Olawale B. Akanbi, Olusanya E. Olubusoye, Samuel A. Babatunde

Asian Journal of Probability and Statistics · pp. 25–46 · Published 7 Feb 2020

10.9734/ajpas/2020/v6i330162

Abstract

Bayes factor is a major Bayesian tool for model comparison especially when the model priors are the same. In this paper, the Savage-Dickey Density Ratio (SDDR) is used to derive the Bayes factor to select a model from two competing models under consideration in a normal linear regression with an independent normal-gamma prior. The Gibbs sampling technique for the joint posterior distribution with equal prior precision for both the unrestricted and restricted models is used to obtain the model estimates. The result shows that the Bayes factor gave more support to the unrestricted model against the restricted and was consistent irrespective of changes in sample size.

Nested model prior precision Savage-Dickey density ratio Gibbs sampling.

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