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Posterior Simulation via the Signed Root Log-Likelihood Ratio

Kharroubi, SA; Sweeting, TJ; (2010) Posterior Simulation via the Signed Root Log-Likelihood Ratio. BAYESIAN ANAL , 5 (4) 787 - 815. 10.1214/10-BA528.

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Abstract

We explore the use of importance sampling based on signed root log-likelihood ratios for Bayesian computation. Approximations based on signed root log-likelihood ratios are used in two distinct ways; firstly, to define an importance function and, secondly, to define suitable control variates for variance reduction. These considerations give rise to alternative simulation-consistent schemes to MCMC for Bayesian computation in moderately parameterized regular problems. The schemes based on control variates can also be viewed as usefully supplementing computations based on asymptotic approximations by supplying external estimates of error. The methods are illustrated by agenetic linkage model and a censored regression model.

Type: Article
Title: Posterior Simulation via the Signed Root Log-Likelihood Ratio
DOI: 10.1214/10-BA528
Keywords: Bayesian computation, Control variates, Importance sampling, Signed rootlog-likelihood ratio, Variance reduction, MARGINAL TAIL PROBABILITIES, CONDITIONAL INFERENCE, DATA AUGMENTATION, CENSORED-DATA, APPROXIMATIONS, STATISTICS, MODELS
UCL classification: UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science
URI: http://discovery.ucl.ac.uk/id/eprint/1298626
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