09-017/4 - To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods

• Authors
  David Ardia, University of Fribourg, Switzerland; Lennart Hoogerheide, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam
• Publication date
  February 26, 2009

• Keywords
  marginal likelihood, Bayes factor, importance sampling, Markov chain Monte Carlo, bridge sampling, adaptive mixture of Student-t distributions
• JEL
  C11, C15, C52