Bridge estimation of the probability density at a point

Antonietta Mira and Geoff Nicholls


Bridge estimation, as described by Meng and Wong in 1996, is used
to estimate the value taken by a probability density at a point in the
state space. When the normalisation of the prior density is known,
this value may be used to estimate a Bayes factor. It is shown that
the multi-block Metropolis-Hastings estimators of citeN{chib01} are
bridge sampling estimators. This identification leads to estimators for the
quantity of interest which may be substantially more efficient.

This report was submitted in July 2000.
A revised version of this report was submitted in September 2003.
The version below is the revised version. Print and electronic
copies of the original version are available on request.

Bayes factor, Bridge estimator, Metropolis-Hastings Markov chain Monte carlo

Math Review Classification

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19 pages

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