https://scholars.lib.ntu.edu.tw/handle/123456789/112527
Title: | OPTIMAL VOLUME-CORRECTED LAPLACE- METROPOLIS METHOD | Authors: | HSIAO, CHUHSING, K. 蕭朱杏 |
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. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/82040 |
Appears in Collections: | 流行病學與預防醫學研究所 |
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