Bayesian Analysis

Posterior simulation via the signed root log-likelihood ratio

S. A. Kharroubi and T. J. Sweeting

Full-text: Open access

Abstract

We explore the use of importance sampling based on signed root log-likelihood ratios for Bayesian computation. Approximations based on signed root log-likelihood ratios are used in two distinct ways; firstly, to define an importance function and, secondly, to define suitable control variates for variance reduction. These considerations give rise to alternative simulation-consistent schemes to MCMC for Bayesian computation in moderately parameterized regular problems. The schemes based on control variates can also be viewed as usefully supplementing computations based on asymptotic approximations by supplying external estimates of error. The methods are illustrated by a genetic linkage model and a censored regression model.

Article information

Source
Bayesian Anal. Volume 5, Number 4 (2010), 787-815.

Dates
First available: 19 June 2012

Permanent link to this document
http://projecteuclid.org/euclid.ba/1340110855

Digital Object Identifier
doi:10.1214/10-BA528

Mathematical Reviews number (MathSciNet)
MR2740157

Citation

Kharroubi, S. A.; Sweeting, T. J. Posterior simulation via the signed root log-likelihood ratio. Bayesian Analysis 5 (2010), no. 4, 787--815. doi:10.1214/10-BA528. http://projecteuclid.org/euclid.ba/1340110855.


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