Quotation Frühwirth-Schnatter, Sylvia, Wagner, Helga. 2008. Marginal likelihoods for non- Gaussian models using auxiliary mixture sampling. Computational Statistics & Data Analysis 52 4608-4624.


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Abstract

Several new estimators of the marginal likelihood for complex non-Gaussian models are developed. These estimators make use of the output of auxiliary mixture sampling for count data and for binary and multinomial data. One of these estimators is based on combining Chib's estimator with data augmentation as in auxiliary mixture sampling, while the other estimators are importance sampling and bridge sampling based on constructing an unsupervised importance density from the output of auxiliary mixture sampling. These estimators are applied to a logit regression model, to a Poisson regression model, to a binomial model with random intercept, as well as to state space modeling of count data.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Computational Statistics and Data Analysis
Citation Index SCI
WU-Journal-Rating new FIN-A, VW-D, WH-B
Language English
Title Marginal likelihoods for non- Gaussian models using auxiliary mixture sampling
Volume 52
Year 2008
Page from 4608
Page to 4624
URL http://www.sciencedirect.com/science/article/pii/S016794730800176X

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Frühwirth-Schnatter, Sylvia (Details)
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Wagner, Helga
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