Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*

DOI10.1111/J.1368-423X.2004.00125.XzbMATH Open1053.62087OpenAlexW3125810650MaRDI QIDQ3156190FDOQ3156190

Authors: Sylvia Frühwirth-Schnatter 

Publication date: 6 January 2005

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00125.x

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zbMATH Keywords

mixture modelsBayesian model choiceMarkov switching modelsbridge sampling technique

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

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• Calculating posterior distributions and modal estimates in Markov mixture models
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• Using simulation methods for bayesian econometric models: inference, development,and communication
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• Marginal Likelihood From the Metropolis–Hastings Output
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• Mixture models, latent variables and partitioned importance sampling
• Simulation-based inference in econometrics. Methods and applications
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Cited In (63)

• Panel data analysis: a survey on model-based clustering of time series
• Recursive pathways to marginal likelihood estimation with prior-sensitivity analysis
• On the use of marginal posteriors in marginal likelihood estimation via importance sampling
• Bayesian inference for finite mixtures of univariate and multivariate skew-normal and skew-\(t\) distributions
• A novel method of marginalisation using low discrepancy sequences for integrated nested Laplace approximations
• Model weights for model choice and averaging
• Regime-switching cointegration
• From here to infinity: sparse finite versus Dirichlet process mixtures in model-based clustering
• Risk measures for skew normal mixtures
• On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
• Bayesian testing for non-linearity in volatility modeling
• Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method
• A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
• Pitfalls of estimating the marginal likelihood using the modified harmonic mean
• Bayesian multivariate latent class profile analysis: exploring the developmental progression of youth depression and substance use
• Neural Network Models for Conditional Distribution Under Bayesian Analysis
• Bayesian analysis of proportions via a hidden Markov model
• A simple method for comparing complex models: Bayesian model comparison for hierarchical multinomial processing tree models using Warp-III bridge sampling
• Bayesian variable selection for latent class analysis using a collapsed Gibbs sampler
• Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
• Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
• A Bayesian approach to model-based clustering for binary panel probit models
• Bayesian estimation of an extended local scale stochastic volatility model
• Marginal likelihood for Markov-switching and change-point GARCH models
• The marginal likelihood of dynamic mixture models
• Improved variational Bayes inference for transcript expression estimation
• Income inequality decomposition using a finite mixture of log-normal distributions: a Bayesian approach
• New approaches to compute Bayes factor in finite mixture models
• Bayesian estimation of generalized hyperbolic skewed student GARCH models
• Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables
• Modeling price response from retail sales: an empirical comparison of models with different representations of heterogeneity
• On marginal likelihood computation in change-point models
• Bayesian model choice of grouped \(t\)-copula
• Computing marginal likelihoods via the Fourier integral theorem and pointwise estimation of posterior densities
• Model-based clustering based on sparse finite Gaussian mixtures
• A tutorial on bridge sampling
• A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models
• Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
• Keeping the balance -- bridge sampling for marginal likelihood estimation in finite mixture, mixture of experts and Markov mixture models
• Properties of the bridge sampler with a focus on splitting the MCMC sample
• Flexible Bayesian analysis of first price auctions using a simulated likelihood
• Improving bridge estimators via \(f\)-GAN
• Exact and Monte Carlo calculations of integrated likelihoods for the latent class model
• Interpretation and inference in mixture models: simple MCMC works
• A transitional Markov switching autoregressive model
• Hidden Markov model in multiple testing on dependent count data
• Bayesian shrinkage in mixture-of-experts models: identifying robust determinants of class membership
• Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
• Importance sampling schemes for evidence approximation in mixture models
• Bayesian density estimation using skew Student-\(t\)-normal mixtures
• Estimating marginal likelihoods from the posterior draws through a geometric identity
• A Bayesian analysis of payday loans and their regulation
• Variational Bayes estimation of hierarchical Dirichlet-multinomial mixtures for text clustering
• Bayesian estimation and model comparison for linear dynamic panel models with missing values
• MCMC for Markov-switching models -- Gibbs sampling vs. marginalized likelihood
• Autoregressive Moving Average Infinite Hidden Markov-Switching Models
• Context Learning in the Rodent Hippocampus
• A New Approach to Dating the Reference Cycle
• An anisotropic and inhomogeneous hidden Markov model for the classification of water quality spatio-temporal series on a national scale: the case of Scotland
• Target-aware Bayesian inference: how to beat optimal conventional estimators
• Robust and efficient specification tests in Markov-switching autoregressive models
• Modeling time-varying parameters using artificial neural networks: a GARCH illustration
• Clustering Multiple Time Series with Structural Breaks

Uses Software

• tsbridge

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