In this review paper, now published in Statistical Analysis and Data Mining 6, 3 (2013), David Parkinson and Andrew R. Liddle go over the (Bayesian) model selection and model averaging perspectives. Their argument in favour of model averaging is that model selection via Bayes factors may simply be too inconclusive to favour one model and only one model. While this is a correct perspective, this is about it for the theoretical background provided therein. The authors then move to the computational aspects and the first difficulty is their approximation (6) to the evidence
where they average the likelihood x prior terms over simulations from the posterior, which does not provide a valid (either unbiased or converging) approximation. They surprisingly fail to account for the huge statistical literature on evidence and Bayes factor approximation, incl. Chen, Shao and Ibrahim (2000). Which covers earlier developments like bridge sampling (Gelman and Meng, 1998).
As often the case in astrophysics, at least since 2007, the authors’ description of nested sampling drifts away from perceiving it as a regular Monte Carlo technique, with the same convergence speed n1/2 as other Monte Carlo techniques and the same dependence on dimension. It is certainly not the only simulation method where the produced “samples, as well as contributing to the evidence integral, can also be used as posterior samples.” The authors then move to “population Monte Carlo [which] is an adaptive form of importance sampling designed to give a good estimate of the evidence”, a particularly restrictive description of a generic adaptive importance sampling method (Cappé et al., 2004). The approximation of the evidence (9) based on PMC also seems invalid:
is missing the prior in the numerator. (The switch from θ in Section 3.1 to X in Section 3.4 is confusing.) Further, the sentence “PMC gives an unbiased estimator of the evidence in a very small number of such iterations” is misleading in that PMC is unbiased at each iteration. Reversible jump is not described at all (the supposedly higher efficiency of this algorithm is far from guaranteed when facing a small number of models, which is the case here, since the moves between models are governed by a random walk and the acceptance probabilities can be quite low).
The second quite unrelated part of the paper covers published applications in astrophysics. Unrelated because the three different methods exposed in the first part are not compared on the same dataset. Model averaging is obviously based on a computational device that explores the posteriors of the different models under comparison (or, rather, averaging), however no recommendation is found in the paper as to efficiently implement the averaging or anything of the kind. In conclusion, I thus find this review somehow anticlimactic.