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 2023
• الموضوعات: Bayes factor; importance sampling; marginal likelihood; Markov chain Monte Carlo; model choice; power posteriors; Econometrics
• الوصول للمادة أونلاين: 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

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...