Improved marginal likelihood estimation via power posteriors and importance sampling

• المؤلفون الرئيسيون: LI, Yong, WANG, Nianling, Jun YU
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2019
• الموضوعات: Bayes factor; Marginal likelihood; Markov Chain Monte Carlo; Model choice; Power posteriors; Importance sampling; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2287; https://ink.library.smu.edu.sg/context/soe_research/article/3286/viewcontent/PB29_.pdf
• المؤسسة: Singapore Management University

The power-posterior method of Friel and Pettitt (2008) has been used to estimate the marginal likelihoods of competing Bayesian models. In this paper it is shown that the Bernstein-von Mises (BvM) theorem holds for the power posteriors under regularity conditions. Due to the BvM theorem, the power p...