thames

Truncated Harmonic Mean Estimator of the Marginal Likelihood

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

Last update: 27 October 2023

Copyright license: GNU General Public License

Software version identifier: 0.1.0, 0.1.1

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

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