Incorporating a contrast in the Bayesian formula: What consequences for the MAP estimator and the posterior distribution? Applications in spatial statistics

Details Incorporating a contrast in the Bayesian formula: What consequences for the MAP estimator and the posterior distribution? Applications in spatial statistics Incorporating a contrast in the Bayesian formula: What consequences for the MAP estimator and the posterior distribution? Applications in spatial statistics

2008-04-30

arxiv.org/abs/0804.4780v1

Mathematics

Statistics Theory

Submitted to the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics

Scientific paper

In order to estimate model parameters and circumvent possible difficulties encountered with the likelihood function, we propose to replace the likelihood in the formula of the posterior distribution by a function depending on a contrast. The properties of the contrast-based (CB) posterior distribution and MAP estimator are studied to understand what the consequences of incorporating a contrast in the Bayesian formula are. We show that the proposed method can be used to make frequentist inference and allows the reduction of analytical calculations to get the limit variance matrix of the estimator. For specific contrasts, the CB--posterior distribution directly approximates the limit distribution of the estimator; the calculation of the limit variance matrix is then avoided. Moreover, for these contrasts, the CB--posterior distribution can also be used to make inference in the Bayesian way. The method is applied to three spatial data sets.

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