The deviance information criterion in comparison of normal mixing models

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.