Improving power posterior estimation of statistical evidence
Abstract
The statistical evidence (or marginal likelihood) is a key quantity in Bayesian statistics, allowing one to assess the probability of the data given the model under investigation. This paper focuses on refining the power posterior approach to improve estimation of the evidence. The power posterior method involves transitioning from the prior to the posterior by powering the likelihood by an inverse temperature. In common with other tempering algorithms, the power posterior involves some degree of tuning. The main contributions of this article are twofold -- we present a result from the numerical analysis literature which can reduce the bias in the estimate of the evidence by addressing the error arising from numerically integrating across the inverse temperatures. We also tackle the selection of the inverse temperature ladder, applying this approach additionally to the Stepping Stone sampler estimation of evidence.
Cite
@article{arxiv.1209.3198,
title = {Improving power posterior estimation of statistical evidence},
author = {Nial Friel and Merrilee Hurn and Jason Wyse},
journal= {arXiv preprint arXiv:1209.3198},
year = {2013}
}
Comments
Revised version (to appear in Statistics and Computing). This version corrects the typo in Equation (17), with thanks to Sabine Hug for pointing this out