bbemkr (version 2.0)

cov_chol: Calculate log marginal likeliood 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(xpost, data_x, data_y, alpha, prior_p, prior_st)

Arguments

xpost

MCMC output

data_x

Regressor

data_y

Response

alpha

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

prior_p

Hyperparameter of the inverse-gamma prior

prior_st

Hyperparameter of inverse-gamma prior

Value

Log marginal likelihood

References

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

See Also

LaplaceMetropolis_gaussian, logdensity_gaussian, logpriors_gaussian, loglikelihood_gaussian, mcmcrecord_gaussian