Recursive pathways to marginal likelihood estimation with prior-sensitivity analysis
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Abstract: 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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Cited in
(10)- Dynamic nested sampling: an improved algorithm for parameter estimation and evidence calculation
- Thermodynamic Bayesian model comparison
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- Nested sampling methods
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- Marginal Likelihood Computation for Model Selection and Hypothesis Testing: An Extensive Review
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