A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood

DOI10.1016/j.csda.2010.09.001zbMath1255.62158OpenAlexW2104243424MaRDI QIDQ1927121

Nalan Baştürk, David Ardia, Hermann K. Van Dijk, Lennart F. Hoogerheide

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://papers.tinbergen.nl/10059.pdf

zbMATH Keywords

bridge samplingimportance samplingBayes factormarginal likelihoodadaptive mixture of Student-\(t\) distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) General nonlinear regression (62J02) Monte Carlo methods (65C05)

Related Items (14)

Marginal Likelihood Computation for Model Selection and Hypothesis Testing: An Extensive Review ⋮ Classification of molecular sequence data using Bayesian phylogenetic mixture models ⋮ On the use of marginal posteriors in marginal likelihood estimation via importance sampling ⋮ Marginal Likelihood Estimation with the Cross-Entropy Method ⋮ Mixtures of peaked power Batschelet distributions for circular data with application to saccade directions ⋮ The marginal likelihood of dynamic mixture models ⋮ Black Box Variational Bayesian Model Averaging ⋮ Estimating marginal likelihoods from the posterior draws through a geometric identity ⋮ Sequentially adaptive Bayesian learning algorithms for inference and optimization ⋮ Normalizing constants of log-concave densities ⋮ Importance sampling schemes for evidence approximation in mixture models ⋮ Marginal likelihood for Markov-switching and change-point GARCH models ⋮ Bayesian Model Selection for Exponential Random Graph Models via Adjusted Pseudolikelihoods ⋮ Specification tests for time-varying parameter models with stochastic volatility

Uses Software

• R
• AdMit
• tsbridge

Cites Work

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