The Bayesian Bootstrap
The Bayesian bootstrap is the Bayesian analogue of the bootstrap. Instead of simulating the sampling distribution of a statistic estimating a parameter, the Bayesian bootstrap simulates the posterior distribution of the parameter; operationally and inferentially the methods are quite similar. Because both methods of drawing inferences are based on somewhat peculiar model assumptions and the resulting inferences are generally sensitive to these assumptions, neither method should be applied without some consideration of the reasonableness of these model assumptions. In this sense, neither method is a true bootstrap procedure yielding inferences unaided by external assumptions.
Permanent link to this document: http://projecteuclid.org/euclid.aos/1176345338
Digital Object Identifier: doi:10.1214/aos/1176345338
Mathematical Reviews number (MathSciNet): MR600538