EVALUATING THE ACCURACY OF SAMPLING-BASED APPROACHES TO THE CALCULATION OF POSTERIOR MOMENTS

EVALUATING THE ACCURACY OF SAMPLING-BASED APPROACHES TO THE CALCULATION OF POSTERIOR MOMENTS

December 1991 | John Geweke*
This paper evaluates the accuracy of sampling-based approaches, specifically data augmentation and Gibbs sampling, for calculating posterior moments. These methods produce samples that are neither independent nor identically distributed, complicating the assessment of convergence and numerical accuracy. The author proposes methods using spectral analysis to formally evaluate numerical accuracy and construct diagnostics for convergence. These methods are applied to the normal linear model with informative priors and the Tobit-censored regression model. The paper highlights the importance of serial correlation in the Gibbs sampler and provides a constructed example to illustrate the concepts. It also discusses the efficiency of the Gibbs sampler and compares it with other sampling methods. The results show that the Gibbs sampler with data augmentation can provide reliable solutions for Bayesian inference in these models, but it requires more computational effort compared to direct Monte Carlo sampling.This paper evaluates the accuracy of sampling-based approaches, specifically data augmentation and Gibbs sampling, for calculating posterior moments. These methods produce samples that are neither independent nor identically distributed, complicating the assessment of convergence and numerical accuracy. The author proposes methods using spectral analysis to formally evaluate numerical accuracy and construct diagnostics for convergence. These methods are applied to the normal linear model with informative priors and the Tobit-censored regression model. The paper highlights the importance of serial correlation in the Gibbs sampler and provides a constructed example to illustrate the concepts. It also discusses the efficiency of the Gibbs sampler and compares it with other sampling methods. The results show that the Gibbs sampler with data augmentation can provide reliable solutions for Bayesian inference in these models, but it requires more computational effort compared to direct Monte Carlo sampling.
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