Bridge estimation of the probability density at a point

被引：0

作者：

Mira, A

Nicholls, G

机构：

[1] Univ Insubria, Dept Econ, I-21100 Varese, Italy

[2] Univ Auckland, Dept Math, Auckland, New Zealand

来源：

STATISTICA SINICA | 2004年 / 14卷 / 02期

关键词：

Bayes factor; marginal likelihood; Markov chain Monte Carlo; Metropolis-Hastings algorithms;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Bridge estimation, as described by Meng and Wong in 1996, is used to estimate the value taken by a probability density at a point in the state space. When the normalisation of the prior density is known, this value may be used to estimate a Bayes factor. It is shown that the multi-block Metropolis-Hastings estimators of Chib and Jeliazkov (2001) are bridge sampling estimators. This identification leads to estimators for the quantity of interest which may be substantially more efficient.

引用

页码：603 / 612

页数：10

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