Statisfaction

Another take on the Hyvärinen score for model comparison

Posted in Statistics by Stephane Shao on 22 September 2018

example_iidNormal_vague_15_by_7

Exact log-Bayes factors (log-BF) and H-factors (HF) of M1 against M2, computed for 100 independent samples (thin solid lines) of 1000 observations generated as i.i.d. N(1,1), under three increasingly vague priors for θ1.

In a former post, Pierre wrote about Bayesian model comparison and the limitations of Bayes factors in the presence of vague priors. Here we are, one year later, and I am happy to announce that our joint work with Jie Ding and Vahid Tarokh has been recently accepted for publication. As way of celebrating, allow me to give you another take on the matter.

(more…)

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