Estimating the evidence -- a review

Statistics – Methodology

Scientific paper

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21 pages. To appear in a special issue, "All Models Are Wrong...", of Statistica Neerlandica

Scientific paper

The model evidence is a vital quantity in the comparison of statistical
models under the Bayesian paradigm. This paper presents a review of commonly
used methods. We outline some guidelines and offer some practical advice. The
reviewed methods are compared for two examples; non-nested Gaussian linear
regression and covariate subset selection in logistic regression.

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