On some difficulties with a posterior probability approximation technique

Christian P. Robert (1, 2) , Jean-Michel Marin (2, 3)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 CREST - Centre de Recherche en Économie et Statistique
3 SELECT - Model selection in statistical learning

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.

Domaines: Statistiques [math.ST]

Christian P. Robert, Jean-Michel Marin. On some difficulties with a posterior probability approximation technique. 2008. ⟨inria-00260507⟩