In this paper we address the problem of learning the structure of a Bayesian network in domains with continuous variables. This task requires a procedure for comparing different candidate structures. In the Bayesian framework, this is done by evaluating the marginal likelihood of the data given a candidate structure. This term can be computed in closed-form for standard parametric families (e.g., Gaussians), and can be approximated, at some computational cost, for some semi-parametric ...