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dc.contributor.authorRobert, Christian P.
dc.contributor.authorMarin, Jean-Michel
HAL ID: 9121
ORCID: 0000-0001-7451-9719
dc.date.accessioned2009-07-08T09:52:32Z
dc.date.available2009-07-08T09:52:32Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/951
dc.language.isoenen
dc.subjectMethodologyen
dc.subjectStatisticsen
dc.subject.ddc519en
dc.titleSome difficulties with some posterior probability approximationsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherINRIA;France
dc.contributor.editoruniversityotherINSEE - Ecole Nationale de la Statistique et de l'Administration Economique;France
dc.description.abstractenn 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 approxi- mate 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 sev- eral 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 latter 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.en
dc.relation.isversionofjnlnameBayesian Analysis
dc.relation.isversionofjnlvol3en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2008-04
dc.relation.isversionofjnlpages427-442en
dc.relation.isversionofdoihttp://dx.doi.org/10.1214/08-BA316en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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