Approximate marginal densities of independent parameters

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Approximate marginal densities of independent parameters. / Kharroubi, Samer A.

In: Statistics: A Journal of Theoretical and Applied Statistics, Vol. 46, No. 4, 08.2011, p. 1-13.

Research output: Contribution to journalArticlepeer-review

Harvard

Kharroubi, SA 2011, 'Approximate marginal densities of independent parameters', Statistics: A Journal of Theoretical and Applied Statistics, vol. 46, no. 4, pp. 1-13. https://doi.org/10.1080/02331888.2010.540667

APA

Kharroubi, S. A. (2011). Approximate marginal densities of independent parameters. Statistics: A Journal of Theoretical and Applied Statistics, 46(4), 1-13. https://doi.org/10.1080/02331888.2010.540667

Vancouver

Kharroubi SA. Approximate marginal densities of independent parameters. Statistics: A Journal of Theoretical and Applied Statistics. 2011 Aug;46(4):1-13. https://doi.org/10.1080/02331888.2010.540667

Author

Kharroubi, Samer A. / Approximate marginal densities of independent parameters. In: Statistics: A Journal of Theoretical and Applied Statistics. 2011 ; Vol. 46, No. 4. pp. 1-13.

Bibtex - Download

@article{3b88bb9b088842ac99b9dd58e582bc35,
title = "Approximate marginal densities of independent parameters",
abstract = "This paper presents an asymptotic approximation for the marginal density of any parameter of interest of a joint posterior density in the case of independent parameters. The approximation is based on the signed-root-based importance sampling algorithm considered in Kharroubi and Sweeting [Posterior simulation via signed root log-likelihood ratios, Bayesian Anal. (2010), in press] and gives rise to the alternative simulation-consistent scheme to Markov chain Monte Carlo for marginal densities. The consideration is illustrated by a censored regression model. ",
keywords = "Statistics, Bayesian inference; , importance sampling; , signed root log-likelihood ratio; , simulation",
author = "Kharroubi, {Samer A.}",
year = "2011",
month = aug,
doi = "10.1080/02331888.2010.540667",
language = "English",
volume = "46",
pages = "1--13",
journal = "Statistics: A Journal of Theoretical and Applied Statistics",
issn = "0233-1888",
publisher = "Taylor and Francis Ltd.",
number = "4",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Approximate marginal densities of independent parameters

AU - Kharroubi, Samer A.

PY - 2011/8

Y1 - 2011/8

N2 - This paper presents an asymptotic approximation for the marginal density of any parameter of interest of a joint posterior density in the case of independent parameters. The approximation is based on the signed-root-based importance sampling algorithm considered in Kharroubi and Sweeting [Posterior simulation via signed root log-likelihood ratios, Bayesian Anal. (2010), in press] and gives rise to the alternative simulation-consistent scheme to Markov chain Monte Carlo for marginal densities. The consideration is illustrated by a censored regression model.

AB - This paper presents an asymptotic approximation for the marginal density of any parameter of interest of a joint posterior density in the case of independent parameters. The approximation is based on the signed-root-based importance sampling algorithm considered in Kharroubi and Sweeting [Posterior simulation via signed root log-likelihood ratios, Bayesian Anal. (2010), in press] and gives rise to the alternative simulation-consistent scheme to Markov chain Monte Carlo for marginal densities. The consideration is illustrated by a censored regression model.

KW - Statistics

KW - Bayesian inference;

KW - importance sampling;

KW - signed root log-likelihood ratio;

KW - simulation

UR - http://www.scopus.com/inward/record.url?scp=84863815889&partnerID=8YFLogxK

U2 - 10.1080/02331888.2010.540667

DO - 10.1080/02331888.2010.540667

M3 - Article

VL - 46

SP - 1

EP - 13

JO - Statistics: A Journal of Theoretical and Applied Statistics

JF - Statistics: A Journal of Theoretical and Applied Statistics

SN - 0233-1888

IS - 4

ER -