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Bridge estimation of the probability density at a point

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Author Info

  • Mira Antonietta

    ()
    (Department of Economics, University of Insubria, Italy)

  • Nicholls Geoff

    ()
    (Department of Mathematics, Auckland University, New Zealand)

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    Abstract

    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 estimators. This identification leads to more efficient estimators for the quantity of interest.

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    File URL: http://eco.uninsubria.it/dipeco/Quaderni/files/QF2001_7.pdf
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    Bibliographic Info

    Paper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0105.

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    Length: 11 pages
    Date of creation: May 2001
    Date of revision:
    Handle: RePEc:ins:quaeco:qf0105

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    Web page: http://www.uninsubria.it/uninsubria/facolta/econo.html
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    Related research

    Keywords: Bayes factor; Bridge estimators; Marginal likelihood; Markov chain Monte Carlo; Metropolis-Hastings algorithms;

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    Cited by:
    1. Passarin Katia, 2004. "Local robustness measures for posterior summaries," Economics and Quantitative Methods qf0405, Department of Economics, University of Insubria.

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