Bridge estimation of the probability density at a point

Mira Antonietta () and Nicholls Geoff ()
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Mira Antonietta: Department of Economics, University of Insubria, Italy
Nicholls Geoff: Department of Mathematics, Auckland University, New Zealand

Economics and Quantitative Methods from Department of Economics, University of Insubria

Abstract: Bridge estimation, as described by Meng and Wong in 1996, is used 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 estimators. This identification leads to more efficient estimators for the quantity of interest.

Keywords: Bayes factor; Bridge estimators; Marginal likelihood; Markov chain Monte Carlo; Metropolis-Hastings algorithms (search for similar items in EconPapers)
Pages: 11 pages
Date: 2001-05
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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0105

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