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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 publié
External document link
http://hal.inria.fr/inria-00260507/en/
Date
2008
Journal name
Bayesian Analysis
Volume
3
Number
2
Publisher
International Society for Bayesian Analysis
Pages
427-442
Publication identifier
http://dx.doi.org/10.1214/08-BA316
Metadata
Show full item record
Author(s)
Marin, Jean-Michel cc
Robert, Christian P.
Abstract (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
Statistiques

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