back to a correction of the harmonic mean estimator

In a 2009 JCGS paper, Peter Lenk proposed a bias correction of the harmonic mean estimator, which is somewhat surprising given that the estimator usually has no variance and hence that its consistency is purely formal, since no speed of convergence can be taken for granted. In particular, the conjugate Normal model serving as a […]

a come-back of the harmonic mean estimator

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

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

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 mean estimators

In connection with my recent talk at MaxEnt 2009 and older talks and posts, I have just written with Darren Wraith a very short note on some computational methods used for approximating Bayes factors. This note has now been arXived and it is strongly based on the slides for this talk. Nonetheless, I think there […]