Extreme data compression for Bayesian model comparison

Abstract

AbstractWe develop extreme data compression for use in Bayesian model comparison via the MOPED algorithm, as well as more general score compression. We find that Bayes Factors from data compressed with the MOPED algorithm are identical to those from their uncompressed datasets when the models are linear and the errors Gaussian. In other nonlinear cases, whether nested or not, we find negligible differences in the Bayes Factors, and show this explicitly for the Pantheon-SH0ES supernova dataset. We also investigate the sampling properties of the Bayesian Evidence as a frequentist statistic, and find that extreme data compression reduces the sampling variance of the Evidence, but has no impact on the sampling distribution of Bayes Factors. Since model comparison can be a very computationally-intensive task, MOPED extreme data compression may present significant advantages in computational time.