Optimal volume-corrected Laplace-Metropolis method
Journal
Annals of the Institute of Statistical Mathematics
Journal Volume
55
Journal Issue
3
Pages
655-670
Date Issued
2003
Author(s)
Abstract
The article provides a refinement for the volume-corrected Laplace-Metropolis estimator of the marginal likelihood of DiCiccio et al. The correction volume of probability α in DiCiccio et al. is fixed and suggested to take the value α = 0.05. In this article α is selected based on an asymptotic analysis to minimize the mean square relative error (MSRE). This optimal choice of α is shown to be invariant under linear transformations. The invariance property leads to easy implementation for multivariate problems. An implementation procedure is provided for practical use. A simulation study and a real data example are presented.
Publisher
Springer Netherlands
Type
journal article