Normalizing constant / marginal likelihood in TMB?

[Katie Paulson]

Hello,

Is it possible to use TMB to estimate the normalizing constant (marginal likelihood) for a Bayesian model?

To be clear, I have something like:

p(theta | data) = p(data | theta) p(theta) / p(data)

with a likelihood defined for p(data | theta), and latent model defined for theta. I've been using TMB to fit this model and approximate the posterior distribution p(theta | data).

Now, I would like to also get the normalizing constant p(data). With other tools I know how to extract this value (e.g. R-INLA via mlik in the model output) -- is this also possible in TMB?

Thank you!

Katie Paulson