Bayes factors for a test about the drift
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S. Sivaganesan; Rama T. Lingham
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Article
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2000
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Elsevier Science
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English
โ 113 KB
Brownian motions are useful in modeling many stochastic phenomena. We address the problem of default testing for the sign of the drift, if any, in the mean of the process using the Bayesian approach. Conventional Bayes factors for hypotheses testing, however, cannot typically accommodate the use of