Simulation-efficient shortest probability intervals

DOI10.1007/S11222-015-9563-8MaRDI QIDQ5963782zbMATH OpenOpenAlexFDO

Authors Tian Zheng, Andrew Gelman, Ying Liu

Publication date 23 February 2016

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.2142

zbMATH Keywords

bootstrapBayesian computationhighest posterior density

Mathematics Subject Classification ID

Bayesian inference (62F15)

Abstract: Bayesian highest posterior density (HPD) intervals can be estimated directly from simulations via empirical shortest intervals. Unfortunately, these can be noisy (that is, have a high Monte Carlo error). We derive an optimal weighting strategy using bootstrap and quadratic programming to obtain a more compu- tationally stable HPD, or in general, shortest probability interval (Spin). We prove the consistency of our method. Simulation studies on a range of theoret- ical and real-data examples, some with symmetric and some with asymmetric posterior densities, show that intervals constructed using Spin have better cov- erage (relative to the posterior distribution) and lower Monte Carlo error than empirical shortest intervals. We implement the new method in an R package (SPIn) so it can be routinely used in post-processing of Bayesian simulations.

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Cites work

• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 1911984 (Why is no real title available?)
• Asymptotic Statistics
• Bootstrap methods: another look at the jackknife
• How Many People Do You Know in Prison?
• Inference from simulations and monitoring convergence
• Order Statistics

Cited in

(5)

• Computing highest density regions for continuous univariate distributions with known probability functions
• Markov-modulated Hawkes processes for modeling sporadic and bursty event occurrences in social interactions
• A Note on the Construction of Highest Posterior Density Intervals
• Efficiently Simulating the Coverage Properties of Interval Estimates
• Posterior distribution of nondifferentiable functions

Describes a project that uses

Uses Software

• R
• SPIN
• BUGS
• BayesDA
• RStan

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