Bayesian measures of model complexity and fit Export

@article{citeulike:2338008, abstract = {Summary. We consider the problem of comparing complex hierarchical models in which the number of parameters is not clearly defined. Using an information theoretic argument we derive a measure pD for the effective number of parameters in a model as the difference between the posterior mean of the deviance and the deviance at the posterior means of the parameters of interest. In general pD approximately corresponds to the trace of the product of Fisher's information and the posterior covariance, which in normal models is the trace of the 'hat' matrix projecting observations onto fitted values. Its properties in exponential families are explored. The posterior mean deviance is suggested as a Bayesian measure of fit or adequacy, and the contributions of individual observations to the fit and complexity can give rise to a diagnostic plot of deviance residuals against leverages. Adding pD to the posterior mean deviance gives a deviance information criterion for comparing models, which is related to other information criteria and has an approximate decision theoretic justification. The procedure is illustrated in some examples, and comparisons are drawn with alternative Bayesian and classical proposals. Throughout it is emphasized that the quantities required are trivial to compute in a Markov chain Monte Carlo analysis.}, author = {Spiegelhalter, David J. and Best, Nicola G. and Carlin, Bradley P. and van der Linde, Angelika}, citeulike-article-id = {2338008}, citeulike-linkout-0 = {http://www.blackwell-synergy.com/doi/abs/10.1111/1467-9868.00353}, citeulike-linkout-1 = {http://dx.doi.org/10.1111/1467-9868.00353}, doi = {10.1111/1467-9868.00353}, journal = {Journal of the Royal Statistical Society: Series B (Statistical Methodology)}, keywords = {dic, model\_selection}, number = {4}, pages = {583--639}, posted-at = {2008-02-06 00:43:14}, priority = {2}, title = {Bayesian measures of model complexity and fit}, url = {http://dx.doi.org/10.1111/1467-9868.00353}, volume = {64}, year = {2002} }

TY - JOUR ID - citeulike:2338008 L3 - citeulike-article-id:2338008 N2 - Summary. We consider the problem of comparing complex hierarchical models in which the number of parameters is not clearly defined. Using an information theoretic argument we derive a measure pD for the effective number of parameters in a model as the difference between the posterior mean of the deviance and the deviance at the posterior means of the parameters of interest. In general pD approximately corresponds to the trace of the product of Fisher's information and the posterior covariance, which in normal models is the trace of the 'hat' matrix projecting observations onto fitted values. Its properties in exponential families are explored. The posterior mean deviance is suggested as a Bayesian measure of fit or adequacy, and the contributions of individual observations to the fit and complexity can give rise to a diagnostic plot of deviance residuals against leverages. Adding pD to the posterior mean deviance gives a deviance information criterion for comparing models, which is related to other information criteria and has an approximate decision theoretic justification. The procedure is illustrated in some examples, and comparisons are drawn with alternative Bayesian and classical proposals. Throughout it is emphasized that the quantities required are trivial to compute in a Markov chain Monte Carlo analysis. IS - 4 JF - Journal of the Royal Statistical Society: Series B (Statistical Methodology) EP - 639 TI - Bayesian measures of model complexity and fit VL - 64 SP - 583 KW - dic KW - model_selection AU - Spiegelhalter, David AU - Best, Nicola AU - Carlin, Bradley AU - van der Linde, Angelika PY - 2002/// UR - http://dx.doi.org/10.1111/1467-9868.00353 ER -