Bayesian Model Comparison with the Hyvärinen Score: Computation and Consistency
基于Hyvärinen评分的贝叶斯模型比较：计算与一致性
The Bayes factor is a widely used criterion in model comparison and its logarithm is a difference of out-of-sample predictive scores under the logarithmic scoring rule. However, when some of the candidate models involve vague priors on their parameters, the log-Bayes factor features an arbitrary additive constant that hinders its interpretation. As an alternative, we consider model comparison using the Hyvärinen score. We propose a method to consistently estimate this score…