All Questions
Tagged with model-selection bayesian
122
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Confused on Bayesian Decision Theory
I am trying to understand what is the right way to pick up an "action", as it is called in Murphy, Machine Learning a Probabilistic Perspective, in the 'chatper 'Bayesian decision theory'.
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1
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1
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44
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BIC with non-negligible priors
I want to do model selection based on the best-fit/MAP/marginal posterior I find from an MCMC and likelihood maximization. I have a likelihood $\mathcal{L}(X|\theta)$, some informative priors $\pi(\...
- 13
10
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1
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400
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Bayesian Justification of Cross-validation
If I understand correctly, K-fold cross-validation is supposed to approximate expected log predictive density (ELPD), which is defined as $\mathop{\mathbb{E}}_{D_{new}\sim P(.|M_{true})}\log P(D_{new}|...
- 197
3
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283
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Minimum Description Length, Normalized Maximum Likelihood, and Maximum A Posteriori Estimation
TL;DR: I believe MDL using NML is a special case of the joint MAP of model and parameters, and need to verify this and find sources that have acknowledges this.
This is how I understand Minimum ...
- 197
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22
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Interpreting Contradictory Results in Bayesian Model Averaging: High Posterior Inclusion Probability with Unclear Effect
In my research, I am utilizing the Bayesian Model Averaging (BMA) methodology to identify the best set of regressors that can predict the outcome variable $y$. My dataset consists of five variables ...
- 37
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202
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Trying to understand Reversible Jump MCMC
As stated in the foundational Biometrika paper of Green (1995) 'Reversible Jump Monte Carlo Calculation and model discrimination'
I am researching the inversion of the data in Geophysics and MCMC is ...
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2
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1
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268
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How to compare WAIC value when they are negative?
How to compare WAIC values when they are negative? Is it still the lower the better?
I got two complex Gaussian models with continuous probability density and the WAIC value are -8351 and -7321, ...
- 23
1
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69
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Understanding LOO / WAIC for Bayesian models selection
I'm trying to select between two models. 1. has a Truncated Normal likelihood and 2. has a Gamma likelihood. 1. has a much higher WAIC/LOO score but the posterior predictive in 2. (specifically the ...
- 211
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66
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Similarities between Bayes Factor and WAIC formulas?
It looks for me that WAIC and Bayes Factor are very similar in some circumstances. If we assume an equal prior for each parameter set Q (p(Q)), the Bayes Factor ...
- 111
2
votes
1
answer
207
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Is Bayesian model selection with empirical parameter priors sound?
Overview
I want to perform a Bayesian model selection on many datasets and use these datasets to determine the required parameter priors.
Example Scenario: Coins
Suppose I have a collection of ...
- 2,291
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74
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Exact computation of Bayes factor for multivariate normal
Question: Is there a known, exact expression for the Bayes factor between two multivariate normal hypotheses?
Let $H_1$ and $H_2$ be two subsets of $R^d$ with normal priors $\pi(\mu|H_j)$. The sets $...
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1
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101
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Bayesian evidence with Sequential Monte Carlo and an unnormalized likelihood function: a contradiction?
There is a contradiction in my understanding of Sequential Monte Carlo for estimating Bayesian evidence for model comparison:
Marginal likelihood (aka normalizing constant, aka Bayesian evidence) ...
- 467
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47
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Bayes model comparison
I have two Bayes models, and let's say that model A is more complex than model B. I know a priori that model A is a good model for the data. I want to make the claim that model B is applicable as well....
- 13
2
votes
1
answer
191
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ABC model selection from posterior samples
I would like to know if there is a general scheme to do model selection based on the posterior samples from a set of ABC (Approximate Bayesian Computation) runs for a given set of models.
Particularly ...
- 23
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2
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739
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How does the Bayesian Information Criterion work for model selection? [closed]
I am aware that we can use the BIC values from different models in order to determine which model predicts the data best. However, I'm a little confused about the criteria used to determine which ...
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