thames

Truncated Harmonic Mean Estimator of the Marginal Likelihood

Martin Metodiev, Marie Perrot-Dockès, Nicholas J. Irons

Last update: 27 October 2023

Software version identifier: 0.1.0, 0.1.1

Copyright license: GNU General Public License

Implements the truncated harmonic mean estimator (THAMES) of the reciprocal marginal likelihood using posterior samples and unnormalized log posterior values via reciprocal importance sampling. Metodiev, Perrot-Dockès, Ouadah, Irons, & Raftery (2023) <arXiv:2305.08952>.

Cites work

Easily Computed Marginal Likelihoods from Posterior Simulation Using the THAMES Estimator