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Activity Number: 276
Type: Topic Contributed
Date/Time: Tuesday, August 8, 2006 : 10:30 AM to 12:20 PM
Sponsor: Section on Bayesian Statistical Science
Abstract - #306536
Title: Making Sense of Estimating Integrated Likelihoods: Bridges, Paths, and Other Routes
Author(s): Russell Steele*+
Companies: McGill University
Address: 805 Rue Sherbrooke O, Montreal, H3A 2K6, Canada
Keywords: Bayesian model selection ; Monte Carlo integration ; importance sampling ; Markov chain Monte Carlo
Abstract:

In this paper, we will examine the usage of advanced Monte Carlo integration techniques---such as annealed importance sampling, bridge sampling, and path sampling---in the context of common model selection problems. We will show how the strengths and weaknesses of each method for model selection for linear mixed-effects models, meta-analysis, and neural network models. The focus of the talk will be on diagnosing problems that occur in various situations and suggesting potential solutions.

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