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Extend possibilities to calculate marginal likelihood

Open florianhartig opened this issue 7 years ago • 5 comments

Following discussion here http://stats.stackexchange.com/questions/209810/computation-of-the-marginal-likelihood-from-mcmc-samples/210196

see also http://stats.stackexchange.com/questions/44972/what-is-the-difference-between-laplace-approximation-and-modified-harmonic-me

florianhartig avatar Dec 20 '16 09:12 florianhartig

Also consider to include bridge sampling, see

https://cran.rstudio.com/web/packages/bridgesampling/index.html

https://github.com/quentingronau/bridgesampling/tree/stan_interface

florianhartig avatar Apr 13 '17 09:04 florianhartig

Check also https://arxiv.org/abs/1704.03472

florianhartig avatar Apr 26 '17 20:04 florianhartig

Added bridge sampling: 155b24bcad9390a4680d6951e514da2f750385d7 e20102c6c205e4dc98cff09becd152d22c009f02 a1f858df24084a02b46bd87725bacf3cdab1b352

TankredO avatar Sep 13 '17 08:09 TankredO

@TankredO, are the current options fully documented, and do we also check them all in the unit tests?

florianhartig avatar Nov 15 '17 16:11 florianhartig

All options are documented. Added simple test cases for all four methods: a4994696ffc43b523782ced4b82583f9a9465ff8

TankredO avatar Nov 24 '17 12:11 TankredO