generalised Savage-Dickey ratio
Today, Ewan Cameron arXived a paper that generalises our Robert and Marin (2010) paper on the measure theoretic difficulties (or impossibilities) of the Savage-Dickey ratio and on the possible resolutions. (A paper of mine’s I like very much despite it having neither impact nor quotes, whatsoever! Until this paper.) I met Ewan last year when he was completing a PhD with Tony Pettitt at QUT in astrostatistics, but he
also worked did not work on this transdimensional ABC algorithm with application to worm invasion in Northern Alberta (arXive I reviewed last week)… Ewan also runs a blog called Another astrostatistics blog, full of goodies, incl. the one where he announces he moves to… zoology in Oxford! Anyway, this note extends our paper and a mathematically valid Savage-Dickey ratio representation to the case when the posterior distributions have no density against the Lebesgue measure. For instance for Dirichlet processes or Gaussian processes priors. Using generic Radon-Nykodim derivatives instead. The example is somewhat artificial, superimposing a Dirichlet process prior onto the Old faithful benchmark. But this is an interesting entry, worth mentioning, into the computation of Bayes factors. And the elusive nature of the Savage-Dickey ratio representation.