The Deviance Information Criterion in Comparison of Normal Mixing Models

type="main" xml:id="insr12063-abs-0001"> <title type="main">Summary</title>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.