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Evaluating statistic appropriateness for Bayesian model choice

Rousseau, Judith; Robert, Christian P.; Pillai, Natesh S.; Marin, Jean-Michel (2011), Evaluating statistic appropriateness for Bayesian model choice. https://basepub.dauphine.fr/handle/123456789/7568

Type
Document de travail / Working paper
External document link
http://hal.archives-ouvertes.fr/hal-00641487/fr/
Date
2011
Publisher
Université Paris-Dauphine
Published in
Paris
Pages
18
Metadata
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Author(s)
Rousseau, Judith
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Robert, Christian P.
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Pillai, Natesh S.

Marin, Jean-Michel cc
Institut de Mathématiques et de Modélisation de Montpellier [I3M]
Abstract (EN)
The choice of the summary statistics in Bayesian inference and in particular in ABC is paramount to produce a valid outcome. We examine necessary and sufficient conditions on those statistics for a corresponding Bayes factor to be convergent. The conditions thus obtained are then usable in ABC settings to determine which summary statistics are appropriate, following a standard Monte Carlo validation.
Subjects / Keywords
ABC; Monte Carlo methods; statistics; Bayesian model choice
JEL
C11 - Bayesian Analysis: General
C15 - Statistical Simulation Methods: General