10-059/4 - A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood

• Authors
  David Ardia, University of Fribourg, aeris CAPITAL AG, Switzerland; Nalan Basturk, Erasmus University Rotterdam; Lennart Hoogerheide, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam
• Publication date
  June 21, 2010

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