Bayesian Measures of Model Complexity and Fit

Bayesian Measures of Model Complexity and Fit (2001)

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by David J. Spiegelhalter , Nicola G. Best , Bradley P. Carlin , Angelika van der Linde

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@MISC{Spiegelhalter01bayesianmeasures,
    author = {David J. Spiegelhalter and Nicola G. Best and Bradley P. Carlin and Angelika van der Linde},
    title = {Bayesian Measures of Model Complexity and Fit},
    year = {2001}
}

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Abstract

We consider the problem of comparing complex hierarchical models in which the number of parameters is not clearly defined. Using an information-theoretic argument we derive a measure pD for the effective number of parameters in a model as the difference between the posterior mean of the deviance and the deviance at the posterior means of the parameters of interest.

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