Accurate Approximations for Posterior Moments and Marginal Densities
作者:
Luke Tierney,
JosephB. Kadane,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1986)
卷期:
Volume 81,
issue 393
页码: 82-86
ISSN:0162-1459
年代: 1986
DOI:10.1080/01621459.1986.10478240
出版商: Taylor & Francis Group
关键词: Bayesian inference;Laplace method;Asymptotic expansions;Computation of integrals
数据来源: Taylor
摘要:
This article describes approximations to the posterior means and variances of positive functions of a real or vector-valued parameter, and to the marginal posterior densities of arbitrary (i.e., not necessarily positive) parameters. These approximations can also be used to compute approximate predictive densities. To apply the proposed method, one only needs to be able to maximize slightly modified likelihood functions and to evaluate the observed information at the maxima. Nevertheless, the resulting approximations are generally as accurate and in some cases more accurate than approximations based on third-order expansions of the likelihood and requiring the evaluation of third derivatives. The approximate marginal posterior densities behave very much like saddle-point approximations for sampling distributions. The principal regularity condition required is that the likelihood times prior be unimodal.
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