cov_chol: Calculate log marginal likeliood from MCMC output
Description
It is a type of candidate estimator for calculating log marginal likelihood, where the MCMC output are used for estimating posterior density.
Usage
cov_chol(xpost, data_x, alpha, prior_p, prior_st)
Arguments
xpost
MCMC output
data_x
Regressor
alpha
Quantile of the critical value in calculating Geweke's log marginal likelihood
prior_p
Hyperparameter of the inverse-gamma prior
prior_st
Hyperparameter of inverse-gamma prior
Value
Log marginal likelihood
References
J. Geweke (1998) Using simulation methods for Bayesian econometric models: inference, development, and communication, Econometric Reviews, 18(1), 1-73.