Maxime Rischard, Pierre Jacob, and Natesh Pillai [warning: both of whom are co-authors and friends of mine!] have just arXived a paper on the use of path sampling (a.k.a., thermodynamic integration) for log-constant unbiased approximation and the resulting consequences on Bayesian model comparison by X validation. If the goal is the estimation of the log […]

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## unbiased estimation of log-normalising constants

October 16, 2018## normalising constants of G-Wishart densities

June 28, 2017Abdolreza Mohammadi, Hélène Massam, and Gérard Letac arXived last week a paper on a new approximation of the ratio of two normalising constants associated with two G-Wishart densities associated with different graphs G. The G-Wishart is the generalisation of the Wishart distribution by Alberto Roverato to the case when some entries of the matrix are […]

## estimating normalising constants [mea culpa?!]

May 28, 2014“The basic idea is to estimate the parameters by learning to discriminate between the data x and some artificially generated noise y.” In the sequel of this popular earlier post of mine on [not] estimating normalising constants, Simon Barthelmé and Nicolas Chopin pointed me to recent papers by Michael Gutmann and Aapo Hyvaärinen on this […]