Estimating the evidence -- a review

DOI10.1111/J.1467-9574.2011.00515.XMaRDI QIDQ6647315zbMATH OpenFDO

Authors Nial Friel, Jason Wyse

Publication date 3 December 2024

Published in Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carlomarginal likelihoodevidencenested samplingpower posteriorsannealed importance samplingharmonic mean estimator

Mathematics Subject Classification ID

Parametric inference (62Fxx) Probabilistic methods, stochastic differential equations (65Cxx) Inference from stochastic processes (62Mxx)

Cites work

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• Accurate Approximations for Posterior Moments and Marginal Densities
• Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
• Approximate simulation-free Bayesian inference for multiple changepoint models with dependence within segments
• Bayes Factors
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Estimating Bayes factors via thermodynamic integration and population MCMC
• Marginal Likelihood Estimation via Power Posteriors
• Marginal Likelihood From the Metropolis–Hastings Output
• Marginal Likelihood from the Gibbs Output
• Nested sampling for general Bayesian computation
• Properties of nested sampling
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Sampling-Based Approaches to Calculating Marginal Densities
• Sequential Monte Carlo Samplers
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• Slice sampling. (With discussions and rejoinder)
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Tuning tempered transitions

Cited in

(3)

• Bayesian Model Choice for Directional Data
• A Bayesian change point modeling approach to identify local temperature changes related to urbanization
• Bayesian Spline-Based Hidden Markov Models with Applications to Actimetry Data and Sleep Analysis

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