Easily Computed Marginal Likelihoods from Posterior Simulation Using the THAMES Estimator

Abstract: We propose an easily computed estimator of marginal likelihoods from posterior simulation output, via reciprocal importance sampling, combining earlier proposals of DiCiccio et al (1997) and Robert and Wraith (2009). This involves only the unnormalized posterior densities from the sampled parameter values, and does not involve additional simulations beyond the main posterior simulation, or additional complicated calculations. It is unbiased for the reciprocal of the marginal likelihood, consistent, has finite variance, and is asymptotically normal. It involves one user-specified control parameter, and we derive an optimal way of specifying this. We illustrate it with several numerical examples.