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June 2008 On some difficulties with a posterior probability approximation technique
Jean-Michel Marin, Christian P. Robert
Bayesian Anal. 3(2): 427-441 (June 2008). DOI: 10.1214/08-BA316


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. From a practical point of view, the bias in Scott's (2002) approximation appears to be much more severe than the one in Congdon's (2006), the latter being often of the same magnitude as the posterior probability it approximates, although we also exhibit an example where the divergence from the true posterior probability is extreme.


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Jean-Michel Marin. Christian P. Robert. "On some difficulties with a posterior probability approximation technique." Bayesian Anal. 3 (2) 427 - 441, June 2008.


Published: June 2008
First available in Project Euclid: 22 June 2012

zbMATH: 1330.62149
MathSciNet: MR2407433
Digital Object Identifier: 10.1214/08-BA316

Keywords: Bayesian model choice , improperty , Markov chain Monte Carlo (MCMC) , posterior approximation , pseudo-priors , Reversible jump , unbiasedness

Rights: Copyright © 2008 International Society for Bayesian Analysis


Vol.3 • No. 2 • June 2008
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