A tutorial on bridge sampling

Gronau, Quentin F. and Sarafoglou, Alexandra and Matzke, Dora and Ly, Alexander and Boehm, Udo and Marsman, Maarten and Leslie, David S. and Forster, Jonathan J. and Wagenmakers, Eric-Jan and Steingroever, Helen (2017) A tutorial on bridge sampling. Journal of Mathematical Psychology, 81. pp. 80-97. ISSN 0022-2496

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Abstract

Abstract The marginal likelihood plays an important role in many areas of Bayesian statistics such as parameter estimation, model comparison, and model averaging. In most applications, however, the marginal likelihood is not analytically tractable and must be approximated using numerical methods. Here we provide a tutorial on bridge sampling (Bennett, 1976; Meng & Wong, 1996), a reliable and relatively straightforward sampling method that allows researchers to obtain the marginal likelihood for models of varying complexity. First, we introduce bridge sampling and three related sampling methods using the beta-binomial model as a running example. We then apply bridge sampling to estimate the marginal likelihood for the Expectancy Valence (EV) model—a popular model for reinforcement learning. Our results indicate that bridge sampling provides accurate estimates for both a single participant and a hierarchical version of the EV model. We conclude that bridge sampling is an attractive method for mathematical psychologists who typically aim to approximate the marginal likelihood for a limited set of possibly high-dimensional models.

Item Type: Journal Article
Journal or Publication Title: Journal of Mathematical Psychology
Uncontrolled Keywords: /dk/atira/pure/subjectarea/asjc/2600/2604
Subjects:
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 88400
Deposited By: ep_importer_pure
Deposited On: 24 Oct 2017 10:38
Refereed?: Yes
Published?: Published
Last Modified: 11 Feb 2020 03:41
URI: https://eprints.lancs.ac.uk/id/eprint/88400

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