IDEAS home Printed from
   My bibliography  Save this paper

Bridge estimation of the probability density at a point


  • Mira Antonietta

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

  • Nicholls Geoff

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


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

    Download full text from publisher

    File URL:
    Download Restriction: no


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

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


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ins:quaeco:qf0105. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Segreteria Dipartimento). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.