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a come-back of the harmonic mean estimator

September 6, 2018

Are we in for a return of the harmonic mean estimator?! Allen Caldwell and co-authors arXived a new document that Allen also sent me, following a technique that offers similarities with our earlier approach with Darren Wraith, the difference being in the more careful and practical construct of the partition set and use of multiple […]

another version of the corrected harmonic mean estimator

June 11, 2018

A few days ago I came across a short paper in the Central European Journal of Economic Modelling and Econometrics by Pajor and Osiewalski that proposes a correction to the infamous harmonic mean estimator that is essentially the one Darren and I made in 2009, namely to restrict the evaluations of the likelihood function to […]

rediscovering the harmonic mean estimator

November 10, 2015

When looking at unanswered questions on X validated, I came across a question where the author wanted to approximate a normalising constant while simulating from the associated density, g. While seemingly unaware of the (huge) literature in the area, he re-derived [a version of] the harmonic mean estimate by considering the [inverted importance sampling] identity […]

Harmonic means, again again

January 10, 2012

Another arXiv posting I had had no time to comment is Nial Friel’s and Jason Wyse’s “Estimating the model evidence: a review“. This is a review in the spirit of two of our papers, “Importance sampling methods for Bayesian discrimination between embedded models” with Jean-Michel Marin (published in Jim Berger Feitschrift, Frontiers of Statistical Decision […]

Harmonic means, again

January 3, 2012

Over the non-vacation and the vacation breaks of the past weeks, I skipped a lot of arXiv postings. This morning, I took a look at “Probabilities of exoplanet signals from posterior samplings” by Mikko Tuomi and Hugh R. A. Jones. This is a paper to appear in Astronomy and Astrophysics, but the main point [to […]