Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Computing Bayes Factors by Combining Simulation and Asymptotic Approximations

Thomas J. DiCiccio, Robert E. Kass, Adrian Raftery and Larry Wasserman
Journal of the American Statistical Association
Vol. 92, No. 439 (Sep., 1997), pp. 903-915
DOI: 10.2307/2965554
Stable URL: http://www.jstor.org/stable/2965554
Page Count: 13
  • Download ($14.00)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Computing Bayes Factors by Combining Simulation and Asymptotic Approximations
Preview not available

Abstract

The Bayes factor is a ratio of two posterior normalizing constants, which may be difficult to compute. We compare several methods of estimating Bayes factors when it is possible to simulate observations from the posterior distributions, via Markov chain Monte Carlo or other techniques. The methods that we study are all easily applied without consideration of special features of the problem, provided that each posterior distribution is well behaved in the sense of having a single dominant mode. We consider a simulated version of Laplace's method, a simulated version of Bartlett correction, importance sampling, and a reciprocal importance sampling technique. We also introduce local volume corrections for each of these. In addition, we apply the bridge sampling method of Meng and Wong. We find that a simulated version of Laplace's method, with local volume correction, furnishes an accurate approximation that is especially useful when likelihood function evaluations are costly. A simple bridge sampling technique in conjunction with Laplace's method often achieves an order of magnitude improvement in accuracy.

Page Thumbnails

  • Thumbnail: Page 
903
    903
  • Thumbnail: Page 
904
    904
  • Thumbnail: Page 
905
    905
  • Thumbnail: Page 
906
    906
  • Thumbnail: Page 
907
    907
  • Thumbnail: Page 
908
    908
  • Thumbnail: Page 
909
    909
  • Thumbnail: Page 
910
    910
  • Thumbnail: Page 
911
    911
  • Thumbnail: Page 
912
    912
  • Thumbnail: Page 
913
    913
  • Thumbnail: Page 
914
    914
  • Thumbnail: Page 
915
    915