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Register a new userOn some difficulties with a posterior probability approximation technique
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Added by
Christian Robert
Publication date
2008
fields
Mathematical Statistics
and research's language is
English
Authors
Christian Robert
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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. From a practical point of view, the bias in Scotts (2002) approximation appears to be much more severe than the one in Congdons (2006), the later 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.
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