cov_chol_admkr {bbemkr}R Documentation

Calculate log marginal likelihood from MCMC output

Description

It is a type of candidate estimator for calculating log marginal likelihood, where the MCMC outputs are used for estimating posterior density.

Usage

cov_chol_admkr(xpost, alpha, data_x, data_y)

Arguments

xpost

MCMC output

alpha

Quantile of the critical value in calculating Geweke's log marginal likelihood

data_x

Regressors

data_y

Response variable

Value

Log marginal likelihood

Author(s)

Han Lin Shang

References

J. Geweke (1998) Using simulation methods for Bayesian econometric models: inference, development, and communication, Econometric Reviews, 18(1), 1-73.

See Also

LaplaceMetropolis_admkr, logdensity_admkr, logpriors_admkr, loglikelihood_admkr, mcmcrecord_admkr


[Package bbemkr version 2.0 Index]