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Bayesian Model Comparison with the Hyvärinen Score: Computation and Consistency

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  • Stephane Shao
  • Pierre E. Jacob
  • Jie Ding
  • Vahid Tarokh

Abstract

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 for parametric models, using sequential Monte Carlo methods. We show that this score can be estimated for models with tractable likelihoods as well as nonlinear non-Gaussian state-space models with intractable likelihoods. We prove the asymptotic consistency of this new model selection criterion under strong regularity assumptions in the case of nonnested models, and we provide qualitative insights for the nested case. We also use existing characterizations of proper scoring rules on discrete spaces to extend the Hyvärinen score to discrete observations. Our numerical illustrations include Lévy-driven stochastic volatility models and diffusion models for population dynamics. Supplementary materials for this article are available online.

Suggested Citation

  • Stephane Shao & Pierre E. Jacob & Jie Ding & Vahid Tarokh, 2019. "Bayesian Model Comparison with the Hyvärinen Score: Computation and Consistency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(528), pages 1826-1837, October.
  • Handle: RePEc:taf:jnlasa:v:114:y:2019:i:528:p:1826-1837
    DOI: 10.1080/01621459.2018.1518237
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    Cited by:

    1. Chen, Su & Walker, Stephen G., 2023. "A New Statistic for Bayesian Hypothesis Testing," Econometrics and Statistics, Elsevier, vol. 26(C), pages 139-152.
    2. Tsionas, Mike G., 2021. "Comparison of stochastic frontier models using the Hyvärinen factor," Economics Letters, Elsevier, vol. 202(C).
    3. Jack Jewson & David Rossell, 2022. "General Bayesian loss function selection and the use of improper models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(5), pages 1640-1665, November.
    4. De Silva, Dakshina G. & Hubbard, Timothy P. & Schiller, Anita R. & Tsionas, Mike G., 2023. "Estimating outcomes in the presence of endogeneity and measurement error with an application to R&D," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 278-294.

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