Simulating normalizing constants: From importance sampling to bridge sampling to path sampling

DOI10.1214/SS/1028905934zbMATH Open0966.65004OpenAlexW2013164703MaRDI QIDQ5926348FDOQ5926348

Authors: Xiao-Li Meng, Andrew Gelman 

Publication date: 1998

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ss/1028905934

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zbMATH Keywords

importance samplingnumerical examplesnumerical integrationMarkov chain Monte Carlo methodpath samplingthermodynamic integrationHellinger distancebridge samplingRao distanceacceptance ratio methodJeffreys prior density

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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• Critical scaling of the mutual information in two-dimensional disordered Ising models
• Approximating cross-validatory predictive evaluation in Bayesian latent variable models with integrated IS and WAIC
• Regime-switching cointegration
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• Thermodynamic Bayesian model comparison
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• Cuts in Bayesian graphical models
• Bayesian analysis of non-linear structural equation models with non-ignorable missing outcomes from reproductive dispersion models
• Spatial hidden Markov models and species distributions
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• Modelling species abundance in a river by negative binomial hidden Markov models
• Monte Carlo integration with Markov chain
• Normalizing constants of log-concave densities
• Efficient estimation of hydraulic conductivity heterogeneity with non-redundant measurement information
• A semiparametric Bayesian approach to generalized partial linear mixed models for longitudinal data
• Multilevel sequential Monte Carlo for Bayesian inverse problems
• Controlled sequential Monte Carlo
• Non-parametric Bayesian inference for inhomogeneous Markov point processes
• A simple method for comparing complex models: Bayesian model comparison for hierarchical multinomial processing tree models using Warp-III bridge sampling
• Investigation of the widely applicable Bayesian information criterion
• The jigsaw puzzle of sequence phenotype inference: piecing together Shannon entropy, importance sampling, and empirical Bayes
• The marginal likelihood of dynamic mixture models
• Explaining the behavior of joint and marginal Monte Carlo estimators in latent variable models with independence assumptions
• Online Bayesian learning for mixtures of spatial spline regressions with mixed effects
• Secure Bayesian model averaging for horizontally partitioned data
• A Bayesian approach for generalized random coefficient structural equation models for longitudinal data with adjacent time effects
• On Bayesian estimation and model comparison of an integrated structural equation model
• Bayesian analysis of nonlinear reproductive dispersion mixed models for longitudinal data with nonignorable missing covariates
• Bayesian analysis of the functional-coefficient autoregressive heteroscedastic model
• Bayesian local influence analysis: with an application to stochastic frontiers
• Bayes factor estimation for nonlinear dynamic state space models
• Bayesian Analysis of Dynamic Magnetic Resonance Breast Images
• Calibrated path sampling and stepwise bridge sampling
• A cluster-sample approach for Monte Carlo integration using multiple samplers
• Drug risk assessment with determining the number of sub-populations under finite mixture normal models
• Parallelizing MCMC sampling via space partitioning
• Statistical Inference for Transformation Inhomogeneous Point Processes
• A tutorial on bridge sampling
• A Continuation Method in Bayesian Inference
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• Properties of the bridge sampler with a focus on splitting the MCMC sample
• Conditional vs marginal estimation of the predictive loss of hierarchical models using WAIC and cross-validation
• Bayesian learning of stochastic dynamical models
• Efficient MCMC for Gibbs random fields using pre-computation
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• Model uncertainty
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• An Invitation to Sequential Monte Carlo Samplers
• Maximum likelihood estimation for social network dynamics
• Computing marginal likelihoods from a single MCMC output
• Multilevel heterogeneous factor analysis and application to ecological momentary assessment
• Free energy computations by minimization of Kullback-Leibler divergence: An efficient adaptive biasing potential method for sparse representations
• Variational Bayesian strategies for high-dimensional, stochastic design problems
• Bayesian computation for statistical models with intractable normalizing constants
• Estimating Bayes factors via thermodynamic integration and population MCMC
• Outliers and influential observations in exponential random graph models
• Probabilistic integration: a role in statistical computation?
• Likelihood and Non‐parametric Bayesian MCMC Inference for Spatial Point Processes Based on Perfect Simulation and Path Sampling
• Spatial Bayesian variable selection models on functional magnetic resonance imaging time-series data
• Bayesian variable selection for proportional hazards models
• A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
• Bayesian variable selection for latent class models
• Model comparison for Gibbs random fields using noisy reversible jump Markov chain Monte Carlo
• On Monte Carlo methods for estimating ratios of normalizing constants
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• On the convergence of adaptive sequential Monte Carlo methods
• Posterior sampling when the normalizing constant is unknown
• Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
• A Bayesian model selection method with applications
• An adaptive scheduling scheme for calculating Bayes factors with thermodynamic integration using Simpson's rule
• Bayesian survival estimation of Pareto distribution of the second kind based on failure-censored data.
• Sequential Monte Carlo Samplers
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• On resolving the Savage-Dickey paradox
• Sequential Monte Carlo on large binary sampling spaces
• Bayesian analysis of semiparametric reproductive dispersion mixed-effects models
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• A Study on the Power Parameter in Power Prior Bayesian Analysis
• Sequential Monte Carlo methods for option pricing
• Estimating and understanding exponential random graph models
• A path sampling identity for computing the Kullback-Leibler and J divergences
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Uses Software

• spatial
• tsbridge

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