The Living Thing / Notebooks :

Bayesian model selection

I thought frequentist model selection was the only type. Apparently not necessarily. What is model selection in a Bayes context? I thought we just kept all the models and weighted by posterior likelihood when making predictions? I still might wish to discard some models for reasons of computational tractability or what-have-you?



Chipman, H., George, E. I., McCulloch, R. E., & Lahiri, P. (2001) The Practical Implementation of Bayesian Model Selection. In Model selection (Vol. 38). Beachwood, OH: Institute of Mathematical Statistics DOI.
Claeskens, G., & Hjort, N. L.(2008) Model selection and model averaging. . Cambridge ; New York: Cambridge University Press
Efron, B. (2012) Bayesian inference and the parametric bootstrap. The Annals of Applied Statistics, 6(4), 1971–1997. DOI.
Kadane, J. B., & Lazar, N. A.(2004) Methods and criteria for model selection. Journal of the American Statistical Association, 99(465), 279–290. DOI.
Li, M., & Dunson, D. B.(2016) A framework for probabilistic inferences from imperfect models. ArXiv:1611.01241 [Stat].
Piironen, J., & Vehtari, A. (2017) Comparison of Bayesian predictive methods for model selection. Statistics and Computing, 27(3), 711–735. DOI.
Vehtari, A., & Ojanen, J. (2012) A survey of Bayesian predictive methods for model assessment, selection and comparison. Statistics Surveys, 6, 142–228. DOI.