Estimating the evidence -- a review
arXiv:1111.1957
Abstract
The model evidence is a vital quantity in the comparison of statistical models under the Bayesian paradigm. This paper presents a review of commonly used methods. We outline some guidelines and offer some practical advice. The reviewed methods are compared for two examples; non-nested Gaussian linear regression and covariate subset selection in logistic regression.
21 pages. To appear in a special issue, "All Models Are Wrong...", of Statistica Neerlandica