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Bridge estimation of the probability density at a point

Author

Listed:
  • Mira Antonietta

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

  • Nicholls Geoff

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

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.

Suggested Citation

  • Mira Antonietta & Nicholls Geoff, 2001. "Bridge estimation of the probability density at a point," Economics and Quantitative Methods qf0105, Department of Economics, University of Insubria.
  • Handle: RePEc:ins:quaeco:qf0105
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    File URL: http://eco.uninsubria.it/dipeco/Quaderni/files/QF2001_7.pdf
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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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