Department of Statistics Unitmark
Dietrich College of Humanities and Social Sciences

A Note on Generalizing the Savage-Dickey Density Ratio

Publication Date

June, 1993

Publication Type

Tech Report

Author(s)

Isabella Verdinelli and Larry Wasserman

Abstract

We present a simple method for computing Bayes factors. The method derives from observing that, in general, a Bayes factor can be written as the product of a quantity called the "Savage-Dickey density ratio" and a correction factor; both terms are easily estimated from posterior simulation. In some cases, it is possible to do these computations without ever evaluating the likelihood, in contrast to some other methods.