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Activity Number: 544
Type: Invited
Date/Time: Thursday, August 6, 2009 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #303294
Title: Flexible Approaches for Computing Marginal Likelihoods
Author(s): Robert J. Kohn*+
Companies: University of New South Wales
Address: Faculty of Business, School of Economics, Sydney, , Austrailia

Model selection is an important activity in modern data analysis and the conventional Bayesian approach to this problem involves calculating the marginal likelihoods for different models, together with diagnostics which examine specific aspects of model fit. Calculating the marginal likelihood is a difficult computational problem. Our article proposes some extensions of the Laplace approximation for this task that are related to copula models and which are easy to apply. Variations which can be used both with and without simulation from the posterior distribution are considered. The methods are illustrated with simulated and real examples.

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