Bridge estimation of the probability density at a point
AbstractBridge 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 estimators. This identification leads to more efficient estimators for the quantity of interest.
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Bibliographic InfoPaper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0105.
Length: 11 pages
Date of creation: May 2001
Date of revision:
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Bayes factor; Bridge estimators; Marginal likelihood; Markov chain Monte Carlo; Metropolis-Hastings algorithms;
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- Passarin Katia, 2004. "Local robustness measures for posterior summaries," Economics and Quantitative Methods qf0405, Department of Economics, University of Insubria.
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