Year: 2011
Type: preprint
Abstract: This paper describes a method for estimating the marginal likelihood or Bayes factors of Bayesian models using non-parametric importance sampling ("arrogance sampling"). This method can also be used to compute the normalizing constant of probability distributions. Because the required inputs are samples from the distribution to be normalized and the scaled density at those samples, this method may be a convenient replacement for the harmonic mean estimator. The method has been implemented in the open source R package margLikArrogance.
Source: arXiv (Cornell University)
Author: Escoto, Benedict
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W1545784841