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We propose a new marginal data density estimator (MDDE) that uses the variational Bayes posterior density as a weighting density of the reciprocal importance sampling (RIS) MDDE.
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“An Introduction to Variational Methods for Graphical Models.”
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Koop, G. and Steel, M. F. (2001) · 2001
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“Estimating Marginal Likelihoods for Mixture and Markov Switching Models Using Bridge Sampling Techniques.”
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Castelnuovo, E., Greco, L., and Raggi, D. (2014) · 2014
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“On the Use of Marginal Posteriors in Marginal Likelihood Estimation via Importance Sampling.”
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“Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean.”
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“Estimating the Integrated Likelihood via Posterior Simulation Using the Harmonic Mean Identity.”
Raftery, A. E., Newton, M. A., Satagopan, J. M., and Krivitsky, P. N. (2006) · 2006
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“Bayesian Frontier Analysis Using WINBUGS.”
Griffin, J. and Steel, M. (2007) · 2007
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“Marginal Likelihoods for Non-Gaussian Models Using Auxiliary Mixture Sampling.”
Frühwirth-Schnatter, S. and Wagner, H. (2008) · 2008
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“Methods for Inference in Large Multiple-Equation Markov-Switching Models.”
Sims, C. A., Waggoner, D. F., and Zha, T. (2008) · 2008
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“Graphical Models, Exponential Families, and Variational Inference.”
Wainwright, M. J. and Jordan, M. I. (2008) · 2008
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“Simulation Pseudo-Bias Correction to the Harmonic Mean Estimator of Integrated Likelihoods.”
Lenk, P. (2009) · 2009
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Chan, J. and Grant, A. L. (2015) · 2015
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“Prior Selection for Vector Autoregressions.”
Giannone, D., Lenza, M., and Primiceri, G. E. (2015) · 2015
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“Financial Stress and Economic Dynamics : The Transmission of Crises.”
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“Automatic Variational Inference in Stan.”
Kucukelbir, A., Ranganath, R., Gelman, A., and Blei, D. M. (2015) · 2015
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“Variational Inference for Count Response Semiparametric Regression.”
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“Variational Inference: A Review for Statisticians.”
Blei, D. M., Kucukelbir, A., and McAuliffe, J. D. (2017) · 2017
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“Granger Causality and Regime Inference in Markov Switching VAR Models with Bayesian Methods.”
Droumaguet, M., Warne, A., and Woźniak, T. (2017) · 2017
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“A tutorial on bridge sampling.”
Gronau, Q. F., Sarafoglou, A., Matzke, D., Ly, A., Boehm, U., Marsman, M., Leslie, D. S., Forster, J. J., Wagenmakers, E. J., and Steingroever, H. (2017) · 2017
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“Advances in Variational Inference.”
Zhang, C., Bütepage, J., Kjellström, H., and Mandt, S. (2017) · 2017
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“bridgesampling: An R Package for Estimating Normalizing Constants.”
Gronau, Q. F., Singmann, H., and Wagenmakers, E.-J. (2018) · 2018
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“Estimation and Testing of Stochastic Frontier Models Using Variational Bayes.”
Hajargasht, G. and Griffiths, W. E. (2018) · 2018
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“RStan: the R interface to Stan.”
Stan Development Team (2018) · 2018
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“Frequentist Consistency of Variational Bayes.”
Wang, Y. and Blei, D. M. (2018) · 2018
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