Square of re-parameterized bandwidths and square of normal error variance
cpost
Simulation output of tau2 obtained from the MCMC iterations
Value
Value of the log density
Details
It should be noted that the posterior mode or maximum likelihood estimate can be computed from the
simulation output at least approximately, if it is easy to evaluate the log-likelihood function for each draw
in the simulation. Alternatively, one can make use of the posterior mean provided that there is no
concern that it is a low density point.
References
S. Chib (1995) Marginal likelihood from the Gibbs output, Journal of the American Statistical Association, 90, 432, 1313-1321.
M. A. Newton and A. E. Raftery (1994) Approximate Bayesian inference by the weighted likelihood bootstrap (with discussion), Journal of
the Royal Statistical Society, 56, 3-48.