Bridge Sampling Diagnostics

Abstract: In Bayesian statistics, the marginal likelihood is used for model selection and averaging, yet it is often challenging to compute accurately for complex models. Approaches such as bridge sampling, while effective, may suffer from issues of high variability of the estimates. We present how to estimate Monte Carlo standard error (MCSE) for bridge sampling, and how to diagnose the reliability of MCSE estimates using Pareto-$\hat{k}$ and block reshuffling diagnostics without the need to repeatedly re-run full posterior inference. We demonstrate the behavior with increasingly more difficult simulated posteriors and many real posteriors from the posteriordb database.