关于后验概率逼近的几个难点 技术

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

摘要翻译：
Scott(2002)和Congdon(2006)提出了一种计算模型后验概率的新方法。它仅基于MCMC输出，仅限于单个模型，即它绕过了可逆跳变和其他模型探索技术。然而，正如Gelfand and Dey(1994)和Bartolucci等人所证明的那样，完全基于单个模型的MCMC输出来近似后验概率确实是可能的。（2006）中，我们指出Scott(2002)和Congdon(2006)的建议是有偏颇的，并对本论文提出了几个论点，主要是混淆了基于模型的后验子和关节伪后验子。从实际的观点来看，Scott(2002)近似中的偏差似乎比Congdon(2006)近似中的偏差严重得多，后者通常与它所近似的后验概率相同，尽管我们也展示了一个例子，其中与真实后验概率的偏差是极端的。
---
英文标题：
《On some difficulties with a posterior probability approximation
  technique》
---
作者：
Christian Robert (CEREMADE), Jean-Michel Marin (INRIA Futurs)
---
最新提交年份：
2008
---
分类信息：

一级分类：Statistics        统计学
二级分类：Computation        计算
分类描述：Algorithms, Simulation, Visualization
算法、模拟、可视化
--
一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
--
一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
--

---
英文摘要：
  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 Scott's (2002) approximation appears to be much more severe than the one in Congdon's (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.
---
PDF链接：
https://arxiv.org/pdf/801.3513

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：后验概率 Multivariate Difficulties Probability Computation 概率 Congdon MCMC 绕过 single