Performance study of marginal posterior density estimation via Kullback-Leibler divergence

DOI10.1007/BF02564702zbMath0905.62021OpenAlexW1993778231MaRDI QIDQ1382945

Ming-Hui Chen, Qui-Man Shao

Publication date: 7 February 1999

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02564702

zbMATH Keywords

Markov chain Monte Carlokernel density estimationBayesian computationconditional marginal density estimationimportance-weighted marginal density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Bayesian inference (62F15) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

Related Items (3)

Use in practice of importance sampling for repeated MCMC for Poisson models ⋮ Using MCMC chain outputs to efficiently estimate Bayes factors ⋮ Variable selection for multivariate logistic regression models

Cites Work

• On Kullback-Leibler loss and density estimation
• On global properties of variable bandwidth density estimators
• Markov chains for exploring posterior distributions. (With discussion)
• Weighted distributions viewed in the context of model selection: A Bayesian perspective
• The Berry-Esseen bound for Student's statistic
• Marginal Likelihood from the Gibbs Output
• Approximation Theorems of Mathematical Statistics
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Importance-Weighted Marginal Bayesian Posterior Density Estimation
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• Monte Carlo sampling methods using Markov chains and their applications
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