Improved marginal likelihood estimation via power posteriors and importance sampling

• Main Authors: LI, Yong, WANG, Nianling, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: Bayes factor; importance sampling; marginal likelihood; Markov chain Monte Carlo; model choice; power posteriors; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2552; https://ink.library.smu.edu.sg/context/soe_research/article/3551/viewcontent/Improved_Marginal_Likelihood_Estimation_via_Power_Posteriors_and_Importance_Sampling__1_.pdf
• Institution: Singapore Management University

Power posteriors have become popular in estimating the marginal likelihood of a Bayesian model. A power posterior is referred to as the posterior distribution that is proportional to the likelihood raised to a power b∈[0,1]. Important power-posterior-based algorithms include thermodynamic integratio...