Thanks to Phil Woodward, Bill Jefferys, and Ioannis Ntzoufras for their
responses to my question. Here is my summary of what they told me:
- Bayesian model averaging with BUGS can be done, but it is tricky, slow
(poor mixing), and sometimes nearly impossible for some practical problems
with models of different dimensionality.
- Computing Bayes factors with BUGS is much more tricky.
- Some notes and references:
- See Pines in vol2 of WinBUGS examples for an example of computing
Bayes factors.
- Can implement Carlin and Chib method for computing Bayes factors, using
WinBUGS; there is an example of this in vol 2 of the WinBUGS examples.
- Carlin B. P. and Chib S. (1995)
Bayesian Model Choice via Markov Chain Monte Carlo Methods.
Journal of Royal Statistical Society B, 157, 473--484.
- P. Dellaportas, J. J. Forster, and I. Ntzoufras,
On Bayesian Model and Variable Selection Using MCMC.
http://citeseer.nj.nec.com/dellaportas97bayesian.html
- A paper describing an (ultimately unsuccessful) attempt to do BMA
with WinBUGS for a problem in astronomy:
http://bayesrules.net/papers/Cepheid.pdf
- Another paper describing final results of the previous paper, using
reversible-jump algorithm programmed in R:
http://adsabs.harvard.edu/cgi-bin/nph-bib_query?bibcode=2003ApJ...592..539B&db_key=AST&high=3f6f06717c03718
- Gibbs variable selection using BUGS
http://www.jstatsoft.org/v07/i07/GVSusingBUGS.pdf
- Dellaportas, P., Forster, J.J. and Ntzoufras, I. (2000).
Bayesian Variable Selection Using the Gibbs Sampler.
Generalized Linear Models: A Bayesian Perspective
(D. K. Dey, S. Ghosh, and B. Mallick, eds.).
New York: Marcel Dekker, 271 - 286.
[Has some BUGS code in the appendix]
- Ntzoufras Ph.D. thesis: Aspects of Bayesian Model and Variable Selection
Using MCMC. http://www.ba.aegean.gr/ntzoufras/publications.htm
- Paper being written by Ntzoufras and Katsis on computing Bayes Factors
using Gibbs sampling (and WINBUGS) applied to actuarial problems.
Should be ready by end of October.
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