Computing the Bayesian Factor from a Markov chain Monte Carlo Simulation of the Posterior Distribution

Details Computing the Bayesian Factor from a Markov chain Monte Carlo Simulation of the Posterior Distribution Computing the Bayesian Factor from a Markov chain Monte Carlo Simulation of the Posterior Distribution

2009-11-09

arxiv.org/abs/0911.1777v2

Astronomy and Astrophysics

Astrophysics

Instrumentation and Methods for Astrophysics

34 pages, 10 figures, submitted to Bayesian Analysis, revised

Scientific paper

Computation of the marginal likelihood from a simulated posterior distribution is central to Bayesian model selection but is computationally difficult. I argue that the marginal likelihood can be reliably computed from a posterior sample by careful attention to the numerics of the probability integral. Posing the expression for the marginal likelihood as a Lebesgue integral, we may convert the harmonic mean approximation from a sample statistic to a quadrature rule. As a quadrature, the harmonic mean approximation suffers from enormous truncation error as consequence . In addition, I demonstrate that the integral expression for the harmonic-mean approximation converges slowly at best for high-dimensional problems with uninformative prior distributions. These observations lead to two computationally-modest families of quadrature algorithms that use the full generality sample posterior but without the instability. The first algorithm automatically eliminates the part of the sample that contributes large truncation error. The second algorithm uses the posterior sample to assign probability to a partition of the sample space and performs the marginal likelihood integral directly. This eliminates convergence issues. The first algorithm is analogous to standard quadrature but can only be applied for convergent problems. The second is a hybrid of cubature: it uses the posterior to discover and tessellate the subset of that sample space was explored and uses quantiles to compute a representive field value. Neither algorithm makes strong assumptions about the shape of the posterior distribution and neither is sensitive outliers. [abridged]

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