Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Quentin F. Gronau, Henrik Singmann, Eric-Jan Wagenmakers
Title: bridgesampling: An R Package for Estimating Normalizing Constants
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.

Page views:: 2102. Submitted: 2017-10-23. Published: 2020-02-27.
Paper: bridgesampling: An R Package for Estimating Normalizing Constants     Download PDF (Downloads: 537)
bridgesampling_1.0-0.tar.gz: R source package Download (Downloads: 49; 1MB)
v92i10.R: R replication code Download (Downloads: 59; 22KB)

DOI: 10.18637/jss.v092.i10

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.