Bayesian Regression: Theory & Practice

Session 6: Model comparison

Author

Michael Franke

The three main things we can do with models are:

  1. inferring (credible) parameter values (on the assumption that the model we use is good (enough))
  2. making predictions (from an ex ante (a priori) or ex post (a posteriori)) point of view
    • predictions can also be used for model checking (also known as model criticism)
  3. comparing which of several models is better (in some sense of “better”)

We have so far looked only at the first two “pillars of Bayesian data analysis”. In this unit we look at the third, model comparison.

Model comparison is deeply related to the second point: making predictions. We compare models based on their ability to predict data well enough. But not exclusively! We might also rely on other aspects, such as whether a model makes fewer spurious assumptions, i.e., is simpler, more economical or more parsimonious.

As usual, there is not one criterion for model comparison that everybody unanimously agrees to as the best. As usual, this is likely because “goodness of a model” is a multi-dimensional concept. What counts as a good model for science (knowledge gain; theoretical understanding) need not be the same as for engineering or application (getting high-quality predictions in the most efficient manner).

This unit therefore centers on two important tools for Bayesian model comparison that lie at opposite ends of a continuous spectrum, namely Bayes factors and leave-one-out (LOO) cross validation. Bayes factors take the most extreme point of view of ex ante predictions: we compare models without any updating on the relevant data. LOO-CV, on the other hand, take the (almost) most extreme point of view of ex post predictions, comparing models that are trained on all of the relevant data, except one single data observations.

In the practical session, we explore how these different perspectives can give rise to opposite results. This is not a puzzle or paradox, and maybe not even something to quarrel about. It is a natural reflex of comparing the same objects based on a different task, namely making predictions before training, or after.

Here are slides for session 6.