Estimating the evidence - a review

Abstract

The model evidence is a vital quantity in the comparison of statistical models under the Bayesian paradigm. This study presents a review of commonly used methods. We outline some guidelines and offer some practical advice. The reviewed methods are compared for two examples; non-nested Gaussian linear regression and covariate subset selection in logistic regression. © 2012 The Authors. Statistica Neerlandica © 2012 VVS.