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Activity Number: 330
Type: Invited
Date/Time: Tuesday, August 2, 2016 : 10:30 AM to 12:20 PM
Sponsor: JCGS-Journal of Computational and Graphical Statistics
Abstract #318283 View Presentation
Title: Toward Automatic Bayesian Model Comparison: A Sequential Monte Carlo Approach
Author(s): Yan Zhou and Adam Michael Johansen* and John Aston
Companies: National University of Singapore and University of Warwick and University of Cambridge
Keywords: Adapative Monte Carlo ; Bayesian Model Comparison ; Normalising Constants

We consider the problem of estimating normalising constants and their ratios, with particular emphasis on the marginal likelihood and Bayes factors which arise as normalising constants within the framework of Bayesian model comparison. Algorithms based around adaptive sequential Monte Carlo are developed and shown to match or exceed the performance of the state of the art in this area throughout a range of applications with minimal application-specific tuning.

Authors who are presenting talks have a * after their name.

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