bridgesampling (version 1.1-2)

error_measures: Error Measures for Estimated Marginal Likelihood

Description

Computes error measures for estimated marginal likelihood.

Usage

error_measures(bridge_object, ...)

# S3 method for bridge error_measures(bridge_object, ...)

# S3 method for bridge_list error_measures(bridge_object, na.rm = TRUE, ...)

Arguments

bridge_object

an object of class "bridge" or "bridge_list" as returned from bridge_sampler.

...

additional arguments (currently ignored).

na.rm

a logical indicating whether missing values in logml estimates should be removed. Ignored for the bridge method.

Value

If bridge_object is of class "bridge" and has been obtained with method = "normal" and repetitions = 1, returns a list with components:

  • re2: approximate relative mean-squared error for marginal likelihood estimate.

  • cv: approximate coefficient of variation for marginal likelihood estimate (assumes that bridge estimate is unbiased).

  • percentage: approximate percentage error of marginal likelihood estimate.

If bridge_object is of class "bridge_list", returns a list with components:

  • min: minimum of the log marginal likelihood estimates.

  • max: maximum of the log marginal likelihood estimates.

  • IQR: interquartile range of the log marginal likelihood estimates.

Details

Computes error measures for marginal likelihood bridge sampling estimates. The approximate errors for a bridge_object of class "bridge" that has been obtained with method = "normal" and repetitions = 1 are based on Fruehwirth-Schnatter (2004). Not applicable in case the object of class "bridge" has been obtained with method = "warp3" and repetitions = 1. To assess the uncertainty of the estimate in this case, it is recommended to run the "warp3" procedure multiple times.

References

Fruehwirth-Schnatter, S. (2004). Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques. The Econometrics Journal, 7, 143-167. 10.1111/j.1368-423X.2004.00125.x

See Also

The summary methods for bridge and bridge_list objects automatically invoke this function, see bridge-methods.