On the marginal likelihood and cross-validation

Summary In Bayesian statistics, the marginal likelihood, also known as the evidence, is used to evaluate model fit as it quantifies the joint probability of the data under the prior. In contrast, non-Bayesian models are typically compared using cross-validation on held-out data, either through $k$-f...

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Bibliographic Details

Published in:	Biometrika Vol. 107; no. 2; pp. 489 - 496
Main Authors:	Fong, E, Holmes, C C
Format:	Journal Article
Language:	English
Published:	Oxford University Press 01.06.2020
Subjects:	cross-validation Prequential scoring Marginal likelihood
ISSN:	0006-3444, 1464-3510
Online Access:	Get full text
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