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bridgesampling: An R Package for Estimating Normalizing Constants
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DOI：10.18637/jss.v092.i10.png)
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Abstract
En 中文
Statistical procedures such as Bayes factor model selection and Bayesian model averaging require the computation of normalizing constants (e.g., marginal likelihoods). These normalizing constants are notoriously difficult to obtain, as they usually involve high-dimensional integrals that cannot be solved analytically. Here we introduce an R package that uses bridge sampling (Meng and Wong 1996; Meng and Schilling 2002) to estimate normalizing constants in a generic and easy-to-use fashion. For models implemented in Stan, the estimation procedure is automatic. We illustrate the functionality of the package with three examples.
Keywords:
bridge sampling
marginal likelihood
model selection
Bayes factor
Warp-III
Journal
IF:
8.1
Papers:
622
Citations:
4.6W