Truncated Harmonic Mean Estimator of the Marginal Likelihood for Mixtures

Implements the truncated harmonic mean estimator (THAMES) of the reciprocal marginal likelihood for uni- and multivariate mixture models using posterior samples and unnormalized log posterior values via reciprocal importance sampling. Metodiev, Irons, Perrot-Dockès, Latouche & Raftery (2025) .

thamesmix

Implements the truncated harmonic mean estimator (THAMES) of the reciprocal marginal likelihood for uni- and multivariate mixture models using posterior samples and unnormalized log posterior values via reciprocal importance sampling. Reference: Metodiev, Irons, Perrot-Dockès, Latouche & Raftery (2025) <arXiv:2504.21812>.

Installation

You can install the development version of regexcite from GitHub with:

# install.packages("devtools")
devtools::install_github("m-metodiev/thamesmix")

Usage

See the vignette for details.