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Bridgesampling: An R package for estimating normalizing constants

Gronau, QF; Singmann, H; Wagenmakers, EJ; (2020) Bridgesampling: An R package for estimating normalizing constants. Journal of Statistical Software , 92 (10) 10.18637/jss.v092.i10. Green open access

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Abstract

Statistical procedures such as Bayes factor model selection and Bayesian model averaging require the computation of normalizing constants (e.g., marginal likelihoods). These normalizing constants are notoriously difficult to obtain, as they usually involve highdimensional integrals that cannot be solved analytically. Here we introduce an R package that uses bridge sampling (Meng and Wong 1996; Meng and Schilling 2002) to estimate normalizing constants in a generic and easy-to-use fashion. For models implemented in Stan, the estimation procedure is automatic. We illustrate the functionality of the package with three examples.

Type: Article
Title: Bridgesampling: An R package for estimating normalizing constants
Open access status: An open access version is available from UCL Discovery
DOI: 10.18637/jss.v092.i10
Publisher version: https://doi.org/10.18637/jss.v092.i10
Language: English
Additional information: This work is licensed under a Creative Commons Attribution 3.0 International License. The images or other third party material in this article are included in the article’s Creative Commons license, unless indicated otherwise in the credit line; if the material is not included under the Creative Commons license, users will need to obtain permission from the license holder to reproduce the material. To view a copy of this license, visit http://creativecommons.org/licenses/by/3.0/
Keywords: bridge sampling, marginal likelihood, model selection, Bayes factor, Warp-III
UCL classification: UCL
UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences
UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Brain Sciences
UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Brain Sciences > Div of Psychology and Lang Sciences
UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Brain Sciences > Div of Psychology and Lang Sciences > Experimental Psychology
URI: https://discovery.ucl.ac.uk/id/eprint/10107862
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