Marginal Likelihood Calculation for Gelfand-Dey and Chib Method
نویسندگان
چکیده
منابع مشابه
Accept - Reject Metropolis - Hastings Sampling and Marginal Likelihood Estimation ∗ Siddhartha Chib
We describe a method for estimating the marginal likelihood, based on Chib (1995) and Chib and Jeliazkov (2001), when simulation from the posterior distribution of the model parameters is by the accept-reject MetropolisHastings (ARMH) algorithm. The method is developed for one-block and multiple-block ARMH algorithms and does not require the (typically) unknown normalizing constant of the propo...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1962418