A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
From MaRDI portal
Publication:1927121
DOI10.1016/j.csda.2010.09.001zbMath1255.62158MaRDI QIDQ1927121
Nalan Baştürk, David Ardia, Hermann K. Van Dijk, Lennart F. Hoogerheide
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://papers.tinbergen.nl/10059.pdf
bridge sampling; importance sampling; Bayes factor; marginal likelihood; adaptive mixture of Student-\(t\) distributions
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10: Point estimation
62J02: General nonlinear regression
65C05: Monte Carlo methods
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Uses Software
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