State Space Models

The Bayes factor is a widely used criterion in Bayesian model comparison and can be regarded as a ratio of out-of-sample predictive scores under the logarithmic scoring rule. However, when some of the candidate models involve vague or improper priors on their parameters, the Bayes factor features an arbitrary multiplicative constant that hinders its interpretation. As an alternative, we consider model comparison using the Hyv\”arinen score of Dawid & Musio (2015). We provide a method to consistently estimate this score for parametric models, using sequential Monte Carlo (SMC). In particular, we show that it can be estimated for models with tractable likelihoods via SMC samplers, and for nonlinear non-Gaussian state-space models by using SMC^2. We prove the asymptotic consistency of this new model selection criterion under strong regularity assumptions. We illustrate the method on diffusion models for population dynamics and L\’evy-driven stochastic volatility models.

Stephane Shao, Pierre E. Jacob, Jie Ding, Vahid Tarokh, “Bayesian Model Comparison with the Hyvarinen Score: Computation and Consistency.
pdf