Objective Bayesian model choice for non-nested families: the case of the Poisson and the negative binomial

Selecting a statistical model from a set of competing models is a central issue in the scientific task, and the Bayesian approach to model selection is based on the posterior model distribution, a quantification of the updated uncertainty on the entertained models. We present a Bayesian procedure for choosing a family between the Poisson and the geometric families and prove that the procedure is consistent with rate O ( a n ) , a > 1 , where a is a function of the parameter of the true model. An extension of this procedure to the multiple testing Poisson and negative binomial with r successes for r = 1 , … , L is also proved to be consistent with exponential rate. For small sample sizes, a simulation study indicates that the model selection between the above distributions is made with large uncertainty when sampling from a specific subset of distributions. This difficulty is however mitigated by the large consistency rate of the procedure.