论文标题

交叉验证贝叶斯因子与几何固有贝叶斯因子之间的桥梁

A Bridge between Cross-validation Bayes Factors and Geometric Intrinsic Bayes Factors

论文作者

Wang, Yekun, Pericchi, Luis

论文摘要

贝叶斯统计中的模型选择主要是由称为贝叶斯因素的统计数据制成的,这与模型的后验概率直接相关。贝叶斯因素需要仔细评估先前的分布,例如Berger and Pericchi(1996a)的内在先验,并在参数空间上进行整合,这可能是高度的。最近,研究人员一直在提出既不需要整合也不需要先验规范的贝叶斯因素的替代方案。这些发展仍处于很早的阶段,被称为先前的贝叶斯因素,交叉验证贝叶斯因子(CVBF)和贝叶斯的“堆叠”。这种方法和内在的贝叶斯因子(IBF)都避免了先验的规范。但是,这种先前的贝叶斯因素可能需要仔细选择训练样本量。在本文中,提出并研究了基于几何内加贝叶斯因子(GIBF)选择训练样本大小的方法。我们提出了具有不同参数数量的基本示例,并在数值和理论上研究统计行为,以解释选择可行的培训样本样本量为先前的贝叶斯因素选择的想法。我们提出了“桥梁规则”,作为CVBF的训练样本量的分配,使它们接近几何IBF。我们得出的结论是,即使可行的几何IBF是可取的,但使用桥梁规则,CVBF对贝叶斯因素还是有用的经济近似值。

Model Selections in Bayesian Statistics are primarily made with statistics known as Bayes Factors, which are directly related to Posterior Probabilities of models. Bayes Factors require a careful assessment of prior distributions as in the Intrinsic Priors of Berger and Pericchi (1996a) and integration over the parameter space, which may be highly dimensional. Recently researchers have been proposing alternatives to Bayes Factors that require neither integration nor specification of priors. These developments are still in a very early stage and are known as Prior-free Bayes Factors, Cross-Validation Bayes Factors (CVBF), and Bayesian "Stacking." This kind of method and Intrinsic Bayes Factor (IBF) both avoid the specification of prior. However, this Prior-free Bayes factor might need a careful choice of a training sample size. In this article, a way of choosing training sample sizes for the Prior-free Bayes factor based on Geometric Intrinsic Bayes Factors (GIBFs) is proposed and studied. We present essential examples with a different number of parameters and study the statistical behavior both numerically and theoretically to explain the ideas for choosing a feasible training sample size for Prior-free Bayes Factors. We put forward the "Bridge Rule" as an assignment of a training sample size for CVBF's that makes them close to Geometric IBFs. We conclude that even though tractable Geometric IBFs are preferable, CVBF's, using the Bridge Rule, are useful and economical approximations to Bayes Factors.

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