Bayes model selection with path sampling: factor models and other examples

DOI10.1214/12-STS403MaRDI QIDQ254343zbMATH OpenOpenAlexFDO

Authors Ritabrata Dutta, Jayanta K. Ghosh

Publication date 8 March 2016

Published in Statistical Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.4373, https://projecteuclid.org/euclid.ss/1359468410

zbMATH Keywords

Laplace approximationBayes model selectioncovariance modelspath sampling

Mathematics Subject Classification ID

Bayesian inference (62F15) Factor analysis and principal components; correspondence analysis (62H25) Markov processes: estimation; hidden Markov models (62M05)

Abstract: We prove a theorem justifying the regularity conditions which are needed for Path Sampling in Factor Models. We then show that the remaining ingredient, namely, MCMC for calculating the integrand at each point in the path, may be seriously flawed, leading to wrong estimates of Bayes factors. We provide a new method of Path Sampling (with Small Change) that works much better than standard Path Sampling in the sense of estimating the Bayes factor better and choosing the correct model more often. When the more complex factor model is true, PS-SC is substantially more accurate. New MCMC diagnostics is provided for these problems in support of our conclusions and recommendations. Some of our ideas for diagnostics and improvement in computation through small changes should apply to other methods of computation of the Bayes factor for model selection.

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Cited in

(4)

• Normalizing constants of log-concave densities
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• A Mode-Jumping Algorithm for Bayesian Factor Analysis

Describes a project that uses

Uses Software

• tsbridge
• BayesDA

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