Bayesian evidence and model selection

Another arXived paper with a topic close to my interests, posted by Knuth et al. today. Namely, Bayesian model selection. However, after reading the paper in Gainesville, I am rather uncertain about its prospects, besides providing an entry to the issue (for physicists?). Indeed, the description of (Bayesian) evidence is concentrating on rough approximations, in a physics perspective, with a notion of Occam’s factor that measures the divergence to the maximum likelihood. (As usual when reading physics literature, I am uncertain as to why one should consider always approximations.) The numerical part mentions the tools of importance sampling and Laplace approximations, path sampling and nested sampling. The main part of the paper consists in applying those tools to signal processing models. One of them is a mixture example where nested sampling is used to evaluate the most likely number of components. Using uniform priors over non-specified hypercubes. In an example about photometric signal from an exoplanet, two models are distinguished by evidences of 37,764 and 37,765, with another one at 37,748. It seems to me that this very proximity simply prevents the comparison of those models, even without accounting for the Monte Carlo variability. And does not suffice to conclude about a scientific theory (“effectively characterize exoplanetary systems”). Which leads to my current thinking, already expressed on that blog, that Bayes factors and posterior probabilities should be replaced with an alternative, including uncertainty about the very Bayes factor (or evidence).

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