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A Short Note on Almost Sure Convergence of Bayes Factors in the General Set-Up

15 March 2017
D. Chatterjee
Trisha Maitra
S. Bhattacharya
ArXiv (abs)PDFHTML
Abstract

In this article we derive the almost sure convergence theory of Bayes factor in the general set-up that includes even dependent data and misspecified models, as a simple application of a result of Shalizi (2009) to a well-known identity satisfied by the Bayes factor.

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