I’m interested in estimating model evidence (marginal likelihood) for probabilistic models (using the DynamicPPL framework, but let me know if there is something on this matter with Soss.jl). The only available solution I’m aware of is Nested Sampling, but it’s currently not integrated with Turing.
I know they are other solutions out there (e.g. bridge sampling which is maybe more straigthforward when you already have samples drawn from the posterior distribution), but can’t find anything in the Turing ecosystem, and actually in Julia at all.
Is that something people would be interested to have, or is it to specific/model-sensitive to be delivered as a generic package ?