Arbeitspapier

A Comparison of Marginal Likelihood Computation Methods

In a Bayesian analysis, different models can be compared on the basis of theexpected or marginal likelihood they attain. Many methods have been devised to compute themarginal likelihood, but simplicity is not the strongest point of most methods. At the sametime, the precision of methods is often questionable.In this paper several methods are presented in a common framework. The explanation of thedifferences is followed by an application, in which the precision of the methods is testedon a simple regression model where a comparison with analytical results is possible.

Sprache
Englisch

Erschienen in
Series: Tinbergen Institute Discussion Paper ; No. 02-084/4

Klassifikation
Wirtschaft
Bayesian Analysis: General
Model Evaluation, Validation, and Selection
Computational Techniques; Simulation Modeling
Thema
Marginal likelihood
Bayesian analysis.
Marginalanalyse
Bayes-Statistik
Theorie

Ereignis
Geistige Schöpfung
(wer)
Bos, Charles S.
Ereignis
Veröffentlichung
(wer)
Tinbergen Institute
(wo)
Amsterdam and Rotterdam
(wann)
2002

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Bos, Charles S.
  • Tinbergen Institute

Entstanden

  • 2002

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