arXiv subjects

Martin Metodiev

Publications and source records attributed to Martin Metodiev.

5 recordsLinked to original sources

arXiv2026

Simulation-consistent Estimation of the Marginal Likelihood for Block Models

We propose a methodology for computing marginal likelihoods for block models. The proposed estimator computes the marginal likelihood from Markov chain Monte Carlo (MCMC) samples and is simulation-consistent, even when the size of the dataset is fixed. Moreover, it is asymptotically normal, of finite variance, invariant to label switching and can be computed efficiently, even for models with an arbitrarily large number of components. We evaluate the method through simulation studies in settings where the true marginal likelihood is available analytically. Finally, we apply the approach to a social network dataset based on the 2023 United Nations Climate Change Conference (COP28) and discuss the resulting insights.

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arXiv2025

Easily Computed Marginal Likelihoods for Multivariate Mixture Models Using the THAMES Estimator

We present a new version of the truncated harmonic mean estimator (THAMES) for univariate or multivariate mixture models. The estimator computes the marginal likelihood from Markov chain Monte Carlo (MCMC) samples, is consistent, asymptotically normal and of finite variance. In addition, it is invariant to label switching, does not require posterior samples from hidden allocation vectors, and is easily approximated, even for an arbitrarily high number of components. Its computational efficiency is based on an asymptotically optimal ordering of the parameter space, which can in turn be used to provide useful visualisations. We test it in simulation settings where the true marginal likelihood is available analytically. It performs well against state-of-the-art competitors, even in multivariate settings with a high number of components. We demonstrate its utility for inference and model selection on univariate and multivariate data sets.

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arXiv2025

The Principle of Redundant Reflection

The fact that redundant information does not update a rational belief implies that rational beliefs are updated using Bayes rule. In the framework of Hild (1998a), this is true under mild conditions for discrete, continuous, and arbitrary measure spaces. We prove this result and illustrate it with two examples.

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arXiv2024

A Structured Estimator for large Covariance Matrices in the Presence of Pairwise and Spatial Covariates

We consider the problem of estimating a high-dimensional covariance matrix from a small number of observations when covariates on pairs of variables are available and the variables can have spatial structure. This is motivated by the problem arising in demography of estimating the covariance matrix of the total fertility rate (TFR) of 195 different countries when only 11 observations are available. We construct an estimator for high-dimensional covariance matrices by exploiting information about pairwise covariates, such as whether pairs of variables belong to the same cluster, or spatial structure of the variables, and interactions between the covariates. We reformulate the problem in terms of a mixed effects model. This requires the estimation of only a small number of parameters, which are easy to interpret and which can be selected using standard procedures. The estimator is consistent under general conditions, and asymptotically normal. It works if the mean and variance structure of the data is already specified or if some of the data are missing. We assess its performance under our model assumptions, as well as under model misspecification, using simulations. We find that it outperforms several popular alternatives. We apply it to the TFR dataset and draw some conclusions.

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arXiv2023

Easily Computed Marginal Likelihoods from Posterior Simulation Using the THAMES Estimator

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.

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