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August 2014 Recursive Pathways to Marginal Likelihood Estimation with Prior-Sensitivity Analysis
Ewan Cameron, Anthony Pettitt
Statist. Sci. 29(3): 397-419 (August 2014). DOI: 10.1214/13-STS465


We investigate the utility to computational Bayesian analyses of a particular family of recursive marginal likelihood estimators characterized by the (equivalent) algorithms known as “biased sampling” or “reverse logistic regression” in the statistics literature and “the density of states” in physics. Through a pair of numerical examples (including mixture modeling of the well-known galaxy data set) we highlight the remarkable diversity of sampling schemes amenable to such recursive normalization, as well as the notable efficiency of the resulting pseudo-mixture distributions for gauging prior sensitivity in the Bayesian model selection context. Our key theoretical contributions are to introduce a novel heuristic (“thermodynamic integration via importance sampling”) for qualifying the role of the bridging sequence in this procedure and to reveal various connections between these recursive estimators and the nested sampling technique.


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Ewan Cameron. Anthony Pettitt. "Recursive Pathways to Marginal Likelihood Estimation with Prior-Sensitivity Analysis." Statist. Sci. 29 (3) 397 - 419, August 2014.


Published: August 2014
First available in Project Euclid: 23 September 2014

zbMATH: 1331.62128
MathSciNet: MR3264552
Digital Object Identifier: 10.1214/13-STS465

Keywords: Bayes factor , Bayesian model selection , importance sampling , marginal likelihood , Metropolis-coupled Markov Chain Monte Carlo , nested sampling , normalizing constant , Path sampling , reverse logistic regression , thermodynamic integration

Rights: Copyright © 2014 Institute of Mathematical Statistics

Vol.29 • No. 3 • August 2014
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