inria-00260507, version 2
On some difficulties with a posterior probability approximation technique
Christian P. Robert 1, 2Jean-michel Marin 2, 3
Bayesian Analysis 3, 2 (2008) 427-442
Résumé : 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.
- 1 : CEntre de REcherches en MAthématiques de la DEcision (CEREMADE)
- CNRS : UMR7534 – Université Paris IX - Paris Dauphine
- 2 : Centre de Recherche en Économie et Statistique (CREST)
- INSEE – École Nationale de la Statistique et de l'Administration Économique
- 3 : SELECT (INRIA Futurs)
- INRIA – Université Paris XI - Paris Sud
- Domaine : Mathématiques/Statistiques
Statistiques/Théorie
- Référence interne : RR-6463
- Versions disponibles : v1 (04-03-2008) v2 (04-03-2008)
- inria-00260507, version 2
- http://hal.inria.fr/inria-00260507
- oai:hal.inria.fr:inria-00260507
- Contributeur : Jean-Michel Marin
- Soumis le : Mardi 4 Mars 2008, 17:21:35
- Dernière modification le : Vendredi 14 Novembre 2008, 15:45:29