Calculate log marginal likeliood from MCMC output

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Description

It is a type of candidate estimator for calculating log marginal likelihood, where the MCMC outputs are used for estimating posterior density.

Usage

1
cov_chol(xpost, data_x, data_y, alpha, prior_p, prior_st)

Arguments

xpost

MCMC output

data_x

Regressor

data_y

Response

alpha

Quantile of the critical value in calculating Geweke's log marginal likelihood

prior_p

Hyperparameter of the inverse-gamma prior

prior_st

Hyperparameter of inverse-gamma prior

Value

Log marginal likelihood

Author(s)

Han Lin Shang

References

J. Geweke (1998) Using simulation methods for Bayesian econometric models: inference, development, and communication, Econometric Reviews, 18(1), 1-73.

See Also

LaplaceMetropolis_gaussian, logdensity_gaussian, logpriors_gaussian, loglikelihood_gaussian, mcmcrecord_gaussian

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