bound_par_cor

Computes Monte Carlo estimate of the bounded parameter correction to THAMES

internal

Implements the truncated harmonic mean estimator (THAMES)
of the reciprocal marginal likelihood using posterior samples and
unnormalized log posterior values via reciprocal importance sampling.
Metodiev, Perrot-Dockès, Ouadah, Irons, Latouche, & Raftery (2024).
Bayesian Analysis. <doi:10.1214/24-BA1422>.

Nicholas J. Irons

thames

Truncated Harmonic Mean Estimator of the Marginal Likelihood

Marie Perrot-Dockès

Martin Metodiev

bound_par_cor function

<dl><dt>theta_hat</dt>
<dd>center of the ellipsoid A.</dd>
<dt>sigma_svd</dt>
<dd>Singular value decomposition (SVD) of the posterior
covariance matrix used to define A.</dd>
<dt>bound</dt>
<dd>Function calculating membership of a point in the posterior support.</dd>
<dt>radius</dt>
<dd>positive number, radius determining the ellipsoid A</dd>
<dt>n_simuls</dt>
<dd>Integer, number of Monte Carlo simulations to use in the calculation.</dd></dl>

Arguments

Bounded parameter correction — bound_par_cor

<dl>

<dt>theta_hat</dt>
<dd>center of the ellipsoid A.</dd>


<dt>sigma_svd</dt>
<dd>Singular value decomposition (SVD) of the posterior
covariance matrix used to define A.</dd>


<dt>bound</dt>
<dd>Function calculating membership of a point in the posterior support.</dd>


<dt>radius</dt>
<dd>positive number, radius determining the ellipsoid A</dd>


<dt>n_simuls</dt>
<dd>Integer, number of Monte Carlo simulations to use in the calculation.</dd>

</dl>

bound_par_cor: Bounded parameter correction

Description

Usage

Value

Arguments

Examples