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Improving power posterior estimation of statistical evidence

Authors: 

Nial Friel, Merrilee Hurn, Jason Wyse

Publication Type: 
Refereed Original Article
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. A key practical point is that both of these innovations incur virtually no extra cost.
Digital Object Identifer (DOI): 
10.1007/s11222-013-9397-1
Publication Status: 
Published
Publication Date: 
01/09/2014
Journal: 
Statistics and Computing
Volume: 
24
Issue: 
5
Institution: 
National University of Ireland, Dublin (UCD)
Open access repository: 
No