A Comparison of Marginal Likelihood Computation Methods

Tinbergen Institute Working Paper No. 2002-084/4

8 Pages Posted: 3 Nov 2002

Date Written: August 20, 2002

Abstract

In a Bayesian analysis, different models can be compared on the basis of the expected or marginal likelihood they attain. Many methods have been devised to compute the marginal likelihood, but simplicity is not the strongest point of most methods. At the same time, the precision of methods is often questionable.

In this paper several methods are presented in a common framework. The explanation of the differences is followed by an application, in which the precision of the methods is tested on a simple regression model where a comparison with analytical results is possible.

Keywords: Marginal likelihood, Bayesian analysis

JEL Classification: C11, C52, C63

Suggested Citation

Bos, Charles S., A Comparison of Marginal Likelihood Computation Methods (August 20, 2002). Tinbergen Institute Working Paper No. 2002-084/4. Available at SSRN: https://ssrn.com/abstract=332860 or http://dx.doi.org/10.2139/ssrn.332860

Charles S. Bos (Contact Author)

VU University Amsterdam ( email )

De Boelelaan 1105
1081 HV Amsterdam
Netherlands

HOME PAGE: http://personal.vu.nl/c.s.bos

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