Raices Cruz, Ivette and Lindström, Johan and Troffaes, Matthias C. M. and Sahlin, Ullrika (2022) 'Iterative importance sampling with Markov chain Monte Carlo sampling in robust Bayesian analysis.', Computational statistics & data analysis., 176 . p. 107558.
Bayesian inference under a set of priors, called robust Bayesian analysis, allows for estimation of parameters within a model and quantification of epistemic uncertainty in quantities of interest by bounded (or imprecise) probability. Iterative importance sampling can be used to estimate bounds on the quantity of interest by optimizing over the set of priors. A method for iterative importance sampling when the robust Bayesian inference rely on Markov chain Monte Carlo (MCMC) sampling is proposed. To accommodate the MCMC sampling in iterative importance sampling, a new expression for the effective sample size of the importance sampling is derived, which accounts for the correlation in the MCMC samples. To illustrate the proposed method for robust Bayesian analysis, iterative importance sampling with MCMC sampling is applied to estimate the lower bound of the overall effect in a previously published meta-analysis with a random effects model. The performance of the method compared to a grid search method and under different degrees of prior-data conflict is also explored.
|Full text:||Publisher-imposed embargo |
(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives 4.0.
File format - PDF (977Kb)
|Full text:||(VoR) Version of Record|
Available under License - Creative Commons Attribution 4.0.
Download PDF (604Kb)
|Publisher Web site:||https://doi.org/10.1016/j.csda.2022.107558|
|Publisher statement:||© 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).|
|Date accepted:||23 June 2022|
|Date deposited:||17 June 2022|
|Date of first online publication:||13 July 2022|
|Date first made open access:||14 July 2022|
Save or Share this output
|Look up in GoogleScholar|