Bridge estimation of the probability density at a point
نویسندگان
چکیده
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 sampling estimators. This identification leads to estimators for the quantity of interest which may be substantially more efficient.
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