Archive for margLikArrogance

Arrogance sampling

Posted in R, Statistics with tags , , , , , , , , on January 8, 2011 by xi'an

A new posting on arXiv by Benedict Escoto on a simulation method for approximating normalising constants (i.e. evidence) with an eye-catching name! Here is the abstract

This paper describes a method for estimating the marginal likelihood or Bayes factors of Bayesian models using non-parametric importance sampling (“arrogance sampling”). This method can also be used to compute the normalizing constant of probability distributions. Because the required inputs are samples from the distribution to be normalized and the scaled density at those samples, this method may be a convenient replacement for the harmonic mean estimator. The method has been implemented in the open source R package margLikArrogance. Continue reading