Bayesian model selection based on proper scoring rules

DOI10.1214/15-BA942zbMATH Open1335.62017arXiv1409.5291OpenAlexW3100796400MaRDI QIDQ273612FDOQ273612

Authors: Monica Musio, A. Philip Dawid 

Publication date: 22 April 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: Bayesian model selection with improper priors is not well-defined because of the dependence of the marginal likelihood on the arbitrary scaling constants of the within-model prior densities. We show how this problem can be evaded by replacing marginal log-likelihood by a homogeneous proper scoring rule, which is insensitive to the scaling constants. Suitably applied, this will typically enable consistent selection of the true model.

Full work available at URL: https://arxiv.org/abs/1409.5291

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zbMATH Keywords

consistent model selectionhomogeneous scoreprequentialHyvärinen score

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10)

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Cited In (20)

• An Invitation to Sequential Monte Carlo Samplers
• Bayesian cross-validation by parallel Markov chain Monte Carlo
• The Hyvärinen scoring rule in Gaussian linear time series models
• Prior distributions for objective Bayesian analysis
• A note on Bayesian model selection for discrete data using proper scoring rules
• Bayesian model comparison with the Hyvärinen score: computation and consistency
• Comparison of stochastic frontier models using the Hyvärinen factor
• Bayes factor asymptotics for variable selection in the Gaussian process framework
• An integrated surrogate model constructing method: annealing combinable Gaussian process
• Minimax predictive density for sparse count data
• Title not available (Why is that?)
• Generalized Bayesian Inference for Discrete Intractable Likelihood
• An objective Bayes factor with improper priors
• Theory and applications of proper scoring rules
• Adaptation of the tuning parameter in general Bayesian inference with robust divergence
• Bayesian quantile regression using the skew exponential power distribution
• Objective Bayesian inference with proper scoring rules
• The role of Bayesian philosophy within Bayesian model selection
• Title not available (Why is that?)
• Context-dependent score based Bayesian information criteria

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