Journal
STATISTICA NEERLANDICA
Volume 66, Issue 3, Pages 288-308Publisher
WILEY
DOI: 10.1111/j.1467-9574.2011.00515.x
Keywords
evidence; marginal likelihood; Markov chain Monte Carlo; harmonic mean estimator; power posteriors; annealed importance sampling; nested sampling
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Funding
- Science Foundation Ireland [09/RFP/MTH2199]
- Science Foundation Ireland (SFI) [09/RFP/MTH2199] Funding Source: Science Foundation Ireland (SFI)
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The model evidence is a vital quantity in the comparison of statistical models under the Bayesian paradigm. This study presents a review of commonly used methods. We outline some guidelines and offer some practical advice. The reviewed methods are compared for two examples; non-nested Gaussian linear regression and covariate subset selection in logistic regression.
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