Bayesian model comparison via jump diffusions
W.R. Gilks, S. Richardson, David Spiegelhalter · 1995
In recent yearn, the use of MGMC simulation techniques has made feasible the routine Bayesian analysis of many complex high-dimensional problems. However, one area which has received relatively little attention is that of comparing models of possibly different dimensions, where the essential difficulty is that of computing the high-dimensional integrals needed for calculating the normalization constants for the posterior distribution under each model specification: see Raftery (1995: this volume).