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Centre de Recherche en Économie et Statistique |  |
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Centre de Recherche en Économie et Statistique | |
| HAL: hal-00641487, version 1 |
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| Evaluating statistic appropriateness for Bayesian model choice |
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| Jean-michel MARIN 1Natesh Pillai 2 |
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| (2011) |
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| The choice of the summary statistics in Bayesian inference and in particular in ABC is paramount to produce a valid outcome. We examine necessary and sufficient conditions on those statistics for a corresponding Bayes factor to be convergent. The conditions thus obtained are then usable in ABC settings to determine which summary statistics are appropriate, following a standard Monte Carlo validation. |
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| 1: | Institut de Mathématiques et de Modélisation de Montpellier (I3M) |
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CNRS : UMR5149 – Université Montpellier II - Sciences et techniques |
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| 2: | Department of Statistics |
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University of Harvard |
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| 3: | CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) |
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CNRS : UMR7534 – Université Paris IX - Paris Dauphine |
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| 4: | Centre de Recherche en Économie et Statistique (CREST) |
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INSEE – École Nationale de la Statistique et de l'Administration Économique |
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| Subject | : | Mathematics/Statistics Statistics/Statistics Theory |
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| hal-00641487, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00641487 | |
| oai:hal.archives-ouvertes.fr:hal-00641487 | |
| From: Judith Rousseau | |
| Submitted on: Wednesday, 16 November 2011 00:36:41 | |
| Updated on: Wednesday, 16 November 2011 10:37:28 | |
