Accept–reject Metropolis–Hastings sampling and marginal likelihood estimation |
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Authors: | Siddhartha Chib Ivan Jeliazkov † |
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Institution: | John M. Olin School of Business, Washington University, Campus Box 1133, 1 Brookings Drive, St. Louis, MO 63130;and Department of Economics, University of California, Irvine, 3151 Social Science Plaza, Irvine, CA 92697-5100 |
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Abstract: | We describe a method for estimating the marginal likelihood, based on Chib (1995) and C hib and Jeliazkov (2001) , when simulation from the posterior distribution of the model parameters is by the accept–reject Metropolis–Hastings (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 proposal density. The problem of calculating the numerical standard error of the estimates is also considered and a procedure based on batch means is developed. Two examples, dealing with a multinomial logit model and a Gaussian regression model with non-conjugate priors, are provided to illustrate the efficiency and applicability of the method. |
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Keywords: | Model comparison Bayes factor Gaussian regression lognormal density log-t density Markov chain Monte Carlo logit model |
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