normConstLaplaceBridge: normConstLaplaceBridge

In twDEMC: parallel DEMC

Description

Laplace bridge Approximation of the normalizing constant

Usage

normConstLaplaceBridge(sample, logPostSample, fLogPost, alpha = 0.05, 
    nd = cov.rob(sample), M = 10000, logCest = normConstLaplace(sample, 
        fLogPost, alpha, nd)["logCLV"])

Arguments

sample	MCMC sample of parameters, each row of the matrix is a parameter vector
logPostSample	the unnormalized posteror density of the sample
fLogPost	function to evaluate unnormalized Log-posterior for a given parameter vector
alpha	quantile defining the multivariate normal ellipsoid for volume correction
nd	normal density approximation: list with entries center and cov
M	number of additional simulations of posterior
logCest	initial estimate of the normalizing constant

Value

log of the normalization constant

Author(s)

Thomas Wutzler

Examples

mu = c(0,0)
sd = c(1,2)
corr = diag(nrow=2)
corr[1,2] <- corr[2,1] <- 0.49
Sigma = diag(sd, nrow=length(sd)) %*% corr %*% diag(sd,nrow=length(sd)) 
n <- 1000
cTrue <- 10
sample <- mvtnorm::rmvnorm(n,mean=mu,sigma=Sigma)
fLogPost <- function(theta){ log(cTrue) + mvtnorm::dmvnorm(theta,mean=mu,sigma=Sigma, log=TRUE)}
logPostSample <- fLogPost(sample)
(CMW <- exp(normConstLaplaceBridge( sample, logPostSample, logPostSample )) )

#normd <- cov.rob(sample)
#(res <-  boot( sample, function(sample, i){normConstLaplace(sample[i,], fLogDen=fLogDen, nd=normd)}, 100))
#(res2 <-  boot( sample, function(sample, i){normConstLaplace(sample[i,], fLogDen=fLogDen)}, 100))

#normd <- cov.rob(sample)
#(res <-  boot( sample, function(sample, i){normConstLaplaceBridge(sample[i,], fLogDen=fLogDen, logDenSample, nd=normd)}, 100))
#(res2 <-  boot( sample, function(sample, i){normConstLaplaceBridge(sample[i,], fLogDen=fLogDen, logDenSample)}, 100))

twDEMC documentation built on May 2, 2019, 5:38 p.m.