On some difficulties with a posterior probability approximation technique
Marin, Jean-Michel; Robert, Christian P. (2008), On some difficulties with a posterior probability approximation technique, Bayesian Analysis, 3, 2, p. 427-442. http://dx.doi.org/10.1214/08-BA316
Type
Article accepté pour publication ou publiéExternal document link
http://hal.inria.fr/inria-00260507/en/Date
2008Journal name
Bayesian AnalysisVolume
3Number
2Publisher
International Society for Bayesian Analysis
Pages
427-442
Publication identifier
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Show full item recordAbstract (EN)
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.Subjects / Keywords
StatistiquesRelated items
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