Overview

ECMLE implements Elliptical Covering Marginal Likelihood Estimator. The package is designed for settings where you have posterior draws, their log-posterior evaluations, and a function that can evaluate the log-posterior kernel away from the sampled points.

Minimal example

set.seed(1)
post_samples <- cbind(rnorm(400), rnorm(400))
lps <- apply(post_samples, 1, function(z) sum(dnorm(z, log = TRUE)))
log_post_fn <- function(theta) sum(dnorm(theta, log = TRUE))

fit <- ECMLE::ecmle(
  post_samples = post_samples,
  lps = lps,
  log_post_fn = log_post_fn,
  hpd_level = 0.75,
  seed = 123
)

fit
#> <ecmle>
#>   log marginal likelihood: 0.0517178 
#>   ellipsoids: 1 
#>   coverage rate: 0.575
summary(fit)
#> ECMLE summary
#>   log marginal likelihood: 0.0517178 
#>   ellipsoids: 1 
#>   total volume: 6.62691 
#>   HPD level: 0.75

Getting started with ECMLE

Overview

Minimal example