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Techniques for evaluating the normalization integral of the target densityfor Markov Chain Monte Carlo algorithms are described and tested numerically.It is assumed that the Markov Chain algorithm has converged to the targetdistribution and produced a set of samples from the density. These are used toevaluate sample mean, harmonic mean and Laplace algorithms for the calculationof the integral of the target density. A clear preference for the sample meanalgorithm applied to a reduced support region is found, and guidelines aregiven for implementation.

Target Density Normalization for Markov Chain Monte Carlo Algorithms