Statistics

   

A Note on the Area Under the Likelihood and the Fake Evidence for Model Selection

Authors: L. Martino, F. Llorente

Improper priors are not allowed for the computation of the Bayesian evidence Z = p(y) (a.k.a., marginal likelihood), since in this case Z is not completely specified due to an arbitrary constant involved in the computation. However, in this work, we remark that they can be employed in a specific type of model selection problem: when we have several (possibly infinite) models belonging to the same parametric family (i.e., for tuning parameters of a parametric model). However, the quantities involved in this type of selection cannot be considered as Bayesian evidences: we suggest to use the name "fake evidences" (or "areas under the likelihood" in the case of uniform improper priors). We also show that, in this model selection scenario, using a use prior and increasing its scale parameter asymptotically to infinity, we cannot recover the value of the area under the likelihood, obtained with a uniform improper prior. We first discuss it from a general point of view. Then we provide, as an applicative example, all the details for Bayesian regression models with nonlinear bases, considering two cases: the use of a uniform improper prior and the use of a Gaussian prior, respectively. A numerical experiment is also provided confirming and checking all the previous statements.

Comments: 29 Pages.

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Submission history

[v1] 2024-06-12 21:00:31
[v2] 2024-06-26 08:31:05
[v3] 2025-04-08 18:36:58

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