Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2002-09-17
Number: 02-084/4
Author-Name: Charles S. Bos
Author-Email: cbos@feweb.vu.nl
Author-Workplace-Name: Vrije Universiteit Amsterdam
Title: A Comparison of Marginal Likelihood Computation Methods
Abstract: In a Bayesian analysis, different models can be compared on the basis of theexpected or marginal likelihood they attain. Many methods have been devised to compute themarginal likelihood, but simplicity is not the strongest point of most methods. At the sametime, the precision of methods is often questionable.In this paper several methods are presented in a common framework. The explanation of thedifferences is followed by an application, in which the precision of the methods is testedon a simple regression model where a comparison with analytical results is possible.
Classification-JEL: C11; C52; C63.
Keywords: Marginal likelihood; Bayesian analysis.
File-Url: https://papers.tinbergen.nl/02084.pdf
File-Format: application/pdf
File-Size: 162360 bytes
Handle: RePEc:tin:wpaper:20020084