In this paper we present a widely applicable definition of the predictive likelihood based on estimators that are either sufficient or approximately sufficient. Under regularity conditions, this predictive likelihood is shown to equal the Bayes prediction density up to terms of order O p(n-1)....

Bayesian econometrics : past, present, and future / Arnold Zellner -- Fitting and comparison of models for multivariate ordinal outcomes / Ivan Jeliazkov, Jennifer Graves, Mark Kutzbach -- Intra-household allocation and consumption of WIC-approved foods : A Bayesian approach / Ariun Ishdorj,...

Zellner (1975), Chaloner and Brant (1988), and Chaloner (1991) used the posterior distributions of the realized errors to define outliers in a linear model. The same concept is used here to define outliers in a state-space model. An effective approach to compute the posterior probabilities of...