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Bridge estimation of the probability density at a point

Listed author(s):
  • Mira Antonietta


    (Department of Economics, University of Insubria, Italy)

  • Nicholls Geoff


    (Department of Mathematics, Auckland University, New Zealand)

Registered author(s):

    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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    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
    Handle: RePEc:ins:quaeco:qf0105
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