On some difficulties with a posterior probability approximation technique

Details On some difficulties with a posterior probability approximation technique On some difficulties with a posterior probability approximation technique

2008-01-23

arxiv.org/abs/0801.3513v5

Bayesian Analysis(2008), 3(2), 427-442

Statistics

Computation

Second version, resubmitted

Scientific paper

10.1214/08-BA316

In Scott (2002) and Congdon (2006), a new method is advanced to compute posterior probabilities of models under consideration. It is based solely on MCMC outputs restricted to single models, i.e., it is bypassing reversible jump and other model exploration techniques. While it is indeed possible to approximate posterior probabilities based solely on MCMC outputs from single models, as demonstrated by Gelfand and Dey (1994) and Bartolucci et al. (2006), we show that the proposals of Scott (2002) and Congdon (2006) are biased and advance several arguments towards this thesis, the primary one being the confusion between model-based posteriors and joint pseudo-posteriors. From a practical point of view, the bias in Scott's (2002) approximation appears to be much more severe than the one in Congdon's (2006), the later being often of the same magnitude as the posterior probability it approximates, although we also exhibit an example where the divergence from the true posterior probability is extreme.

Affiliated with

Also associated with

No associations

Rating

On some difficulties with a posterior probability approximation technique does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On some difficulties with a posterior probability approximation technique, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On some difficulties with a posterior probability approximation technique will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-183232