|Title:||OPTIMAL VOLUME-CORRECTED LAPLACE- METROPOLIS METHOD||Authors:||HSIAO, CHUHSING, K.
|Keywords:||Bayes factor;Laplace approximation;marginal probability;Markov chain Monte carlo||Issue Date:||2003||Journal Volume:||v.55||Journal Issue:||n.3||Start page/Pages:||655-670||Source:||ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS||Abstract:||
The article provides a refinement for the volume-corrected Laplace-Metropolis estimator of the marginal likelihood of DiCiccio et al. The correction volume of probability a in DiCiccio et al. is fixed and suggested to take the value alpha = 0.05. In this article a is selected based on an asymptotic analysis to minimize the mean square relative error (MSRE). This optimal choice of a is shown to be invariant under linear transformations. The invariance property leads to easy implementation for multivariate problems. An implementation procedure is provided for practical use. A simulation study and a real data example are presented.
|Appears in Collections:||流行病學與預防醫學研究所|
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