Compute the Chib-Jeliazkov log marginal likelihood estimate from the MCMC output

Share:

Description

Compute the Chib-Jeliazkov log marginal likelihood estimate from the MCMC output

Usage

1
2
getLogMargLikEstimate(numeratorTerms, denominatorTerms,
  highDensityPointLogUnPosterior, endLag = 40L)

Arguments

numeratorTerms

terms for the sum in the numerator of the posterior density ordinate estimate at the high density point

denominatorTerms

terms for the sum in the denominator of the posterior density ordinate estimate at the high density point

highDensityPointLogUnPosterior

log unnormalized posterior (i.e. likelihood times prior) of the high density point

endLag

up to which lag should the covariance incorporate the uncertainty? (default: 40)

Value

list with resulting “estimate” and “standardError”.

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.