Bayesian model selection by model evidence maximisation

Type II maximum likelihood, marginal maximum likelihood, Bayes Occam’s razor, Bayes factor

August 20, 2017 — May 27, 2024

Bayes

information

model selection

statistics

Choosing models using the marginal evidence, or Bayes Factor. See Bayes model selection for some miscellaneous other things that look like model selection..

A related concept which is not necessarily Bayesian is the minimum description length.

TBC

1 Incoming

Bayesian Model Selection with Model Evidence - Notes on AI

2 References

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Gilboa, Pakman, and Vatter. 2021. “Marginalizable Density Models.”

Grünwald. 2007. The Minimum Description Length Principle.

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Llorente, Martino, Delgado, et al. 2023. “Marginal Likelihood Computation for Model Selection and Hypothesis Testing: An Extensive Review.” SIAM Review.

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———. 2022. Probabilistic Machine Learning: An Introduction. Adaptive Computation and Machine Learning Series.

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