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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 mean estimators

July 30, 2009

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 […]

Another harmonic mean

May 21, 2022

Yet another paper that addresses the approximation of the marginal likelihood by a truncated harmonic mean, a popular theme of mine. A 2020 paper by Johannes Reich, entitled Estimating marginal likelihoods from the posterior draws through a geometric identity and published in Monte Carlo Methods and Applications. The geometric identity it aims at exploiting is […]