Bayesian inference from composite likelihoods, with an application to spatial extremes
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Extreme value theory; extremal stochastic processes (60G70) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Inference from spatial processes (62M30) Applications of statistics to environmental and related topics (62P12) Numerical analysis or methods applied to Markov chains (65C40)
Abstract: Composite likelihoods are increasingly used in applications where the full likelihood is analytically unknown or computationally prohibitive. Although the maximum composite likelihood estimator has frequentist properties akin to those of the usual maximum likelihood estimator, Bayesian inference based on composite likelihoods has yet to be explored. In this paper we investigate the use of the Metropolis--Hastings algorithm to compute a pseudo-posterior distribution based on the composite likelihood. Two methodologies for adjusting the algorithm are presented and their performance on approximating the true posterior distribution is investigated using simulated data sets and real data on spatial extremes of rainfall.
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