Marginal posterior simulation via higher-order tail area approximations

DOI10.1214/13-BA851zbMATH Open1327.62159arXiv1212.1038OpenAlexW3102963602MaRDI QIDQ899009FDOQ899009

Laura Ventura, Erlis Ruli, N. Sartori

Publication date: 21 December 2015

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: We explore the use of higher-order tail area approximations for Bayesian simulation. These approximations give rise to an alternative simulation scheme to MCMC for Bayesian computation of marginal posterior distributions for a scalar parameter of interest, in the presence of nuisance parameters. Its advantage over MCMC methods is that samples are drawn independently with lower computational time and the implementation requires only standard maximum likelihood routines. The method is illustrated by a genetic linkage model, a normal regression with censored data and a logistic regression model.

Full work available at URL: https://arxiv.org/abs/1212.1038

zbMATH Keywords

Bayesian computationasymptotic expansionMCMCsensitivity analysisnuisance parametermarginal posterior distributioninverse transform samplingmodified likelihood root

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) General nonlinear regression (62J02) Censored data models (62N01) Applications of statistics to biology and medical sciences; meta analysis (62P10) Statistics of extreme values; tail inference (62G32)

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Cited In (7)

• Approximate Bayesian computation with modified log-likelihood ratios
• Higher-order Bayesian Approximations for Pseudo-posterior Distributions
• Pseudo-Likelihoods for Bayesian Inference
• Higher order asymptotic computation of Bayesian significance tests for precise null hypotheses in the presence of nuisance parameters
• On the validity of the formal Edgeworth expansion for posterior densities
• Posterior simulation via the signed root log-likelihood ratio
• Can Bayesian, confidence distribution and frequentist inference agree?

Uses Software

• R
• numDeriv
• BayesDA

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