Some new formulae for posterior expectations and Bartlett corrections

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Publication details

JournalTEST
DatePublished - Dec 2003
Issue number2
Volume12
Number of pages24
Pages (from-to)497-521
Original languageEnglish

Abstract

Some new accurate approximations for posterior expectations and Bartlett corrections are derived. These approximations are modifications of formulae based on signed root log-likelihood ratios obtained in Sweeting (1996) and are designed to address two problems that arise in the practical application of these formulae in the multiparameter case. The first problem is a computational one associated with inversion of signed root log-likelihood ratios. The second concerns the form of the posterior expectation formula, which is not in a particularly convenient form for the computation of predictive densities. The theory is illustrated by two examples.

    Research areas

  • Statistics;, Approximate Bayesian inference, , Bayesian Bartlett correction, higher-order asymptotics, , Laplace approximation, , predictive distribution, , signed root log likelihood ratio.

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