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74
Bayes Factors
, 1995
"... In a 1935 paper, and in his book Theory of Probability, Jeffreys developed a methodology for quantifying the evidence in favor of a scientific theory. The centerpiece was a number, now called the Bayes factor, which is the posterior odds of the null hypothesis when the prior probability on the null ..."
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Cited by 981 (70 self)
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In a 1935 paper, and in his book Theory of Probability, Jeffreys developed a methodology for quantifying the evidence in favor of a scientific theory. The centerpiece was a number, now called the Bayes factor, which is the posterior odds of the null hypothesis when the prior probability on the null is onehalf. Although there has been much discussion of Bayesian hypothesis testing in the context of criticism of P values, less attention has been given to the Bayes factor as a practical tool of applied statistics. In this paper we review and discuss the uses of Bayes factors in the context of five scientific applications in genetics, sports, ecology, sociology and psychology.
Posterior Predictive Assessment of Model Fitness Via Realized Discrepancies
 Statistica Sinica
, 1996
"... Abstract: This paper considers Bayesian counterparts of the classical tests for goodness of fit and their use in judging the fit of a single Bayesian model to the observed data. We focus on posterior predictive assessment, in a framework that also includes conditioning on auxiliary statistics. The B ..."
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Cited by 166 (28 self)
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Abstract: This paper considers Bayesian counterparts of the classical tests for goodness of fit and their use in judging the fit of a single Bayesian model to the observed data. We focus on posterior predictive assessment, in a framework that also includes conditioning on auxiliary statistics. The Bayesian formulation facilitates the construction and calculation of a meaningful reference distribution not only for any (classical) statistic, but also for any parameterdependent “statistic ” or discrepancy. The latter allows us to propose the realized discrepancy assessment of model fitness, which directly measures the true discrepancy between data and the posited model, for any aspect of the model which we want to explore. The computation required for the realized discrepancy assessment is a straightforward byproduct of the posterior simulation used for the original Bayesian analysis. We illustrate with three applied examples. The first example, which serves mainly to motivate the work, illustrates the difficulty of classical tests in assessing the fitness of a Poisson model to a positron emission tomography image that is constrained to be nonnegative. The second and third examples illustrate the details of the posterior predictive approach in two problems: estimation in a model with inequality constraints on the parameters, and estimation in a mixture model. In all three examples, standard test statistics (either a χ 2 or a likelihood ratio) are not pivotal: the difficulty is not just how to compute the reference distribution for the test, but that in the classical framework no such distribution exists, independent of the unknown model parameters. Key words and phrases: Bayesian pvalue, χ 2 test, discrepancy, graphical assessment, mixture model, model criticism, posterior predictive pvalue, prior predictive
Approximate Bayes Factors and Accounting for Model Uncertainty in Generalized Linear Models
, 1993
"... Ways of obtaining approximate Bayes factors for generalized linear models are described, based on the Laplace method for integrals. I propose a new approximation which uses only the output of standard computer programs such as GUM; this appears to be quite accurate. A reference set of proper priors ..."
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Cited by 96 (28 self)
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Ways of obtaining approximate Bayes factors for generalized linear models are described, based on the Laplace method for integrals. I propose a new approximation which uses only the output of standard computer programs such as GUM; this appears to be quite accurate. A reference set of proper priors is suggested, both to represent the situation where there is not much prior information, and to assess the sensitivity of the results to the prior distribution. The methods can be used when the dispersion parameter is unknown, when there is overdispersion, to compare link functions, and to compare error distributions and variance functions. The methods can be used to implement the Bayesian approach to accounting for model uncertainty. I describe an application to inference about relative risks in the presence of control factors where model uncertainty is large and important. Software to implement the
Bayes factors and model uncertainty
 DEPARTMENT OF STATISTICS, UNIVERSITY OFWASHINGTON
, 1993
"... In a 1935 paper, and in his book Theory of Probability, Jeffreys developed a methodology for quantifying the evidence in favor of a scientific theory. The centerpiece was a number, now called the Bayes factor, which is the posterior odds of the null hypothesis when the prior probability on the null ..."
Abstract

Cited by 89 (6 self)
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In a 1935 paper, and in his book Theory of Probability, Jeffreys developed a methodology for quantifying the evidence in favor of a scientific theory. The centerpiece was a number, now called the Bayes factor, which is the posterior odds of the null hypothesis when the prior probability on the null is onehalf. Although there has been much discussion of Bayesian hypothesis testing in the context of criticism of Pvalues, less attention has been given to the Bayes factor as a practical tool of applied statistics. In this paper we review and discuss the uses of Bayes factors in the context of five scientific applications. The points we emphasize are: from Jeffreys's Bayesian point of view, the purpose of hypothesis testing is to evaluate the evidence in favor of a scientific theory; Bayes factors offer a way of evaluating evidence in favor ofa null hypothesis; Bayes factors provide a way of incorporating external information into the evaluation of evidence about a hypothesis; Bayes factors are very general, and do not require alternative models to be nested; several techniques are available for computing Bayes factors, including asymptotic approximations which are easy to compute using the output from standard packages that maximize likelihoods; in "nonstandard " statistical models that do not satisfy common regularity conditions, it can be technically simpler to calculate Bayes factors than to derive nonBayesian significance
The practical implementation of Bayesian model selection
 Institute of Mathematical Statistics
, 2001
"... In principle, the Bayesian approach to model selection is straightforward. Prior probability distributions are used to describe the uncertainty surrounding all unknowns. After observing the data, the posterior distribution provides a coherent post data summary of the remaining uncertainty which is r ..."
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Cited by 85 (3 self)
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In principle, the Bayesian approach to model selection is straightforward. Prior probability distributions are used to describe the uncertainty surrounding all unknowns. After observing the data, the posterior distribution provides a coherent post data summary of the remaining uncertainty which is relevant for model selection. However, the practical implementation of this approach often requires carefully tailored priors and novel posterior calculation methods. In this article, we illustrate some of the fundamental practical issues that arise for two different model selection problems: the variable selection problem for the linear model and the CART model selection problem.
BUGS  Bayesian inference Using Gibbs Sampling Version 0.50
, 1995
"... e wrong, which is even worse. Please let us know of any successes or failures. Beware  Gibbs sampling can be dangerous!. BUGS c flcopyright MRC Biostatistics Unit 1995. ALL RIGHTS RESERVED. The support of the Economic and Social Research Council (UK) is gratefully acknowledged. The work was funde ..."
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Cited by 64 (0 self)
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e wrong, which is even worse. Please let us know of any successes or failures. Beware  Gibbs sampling can be dangerous!. BUGS c flcopyright MRC Biostatistics Unit 1995. ALL RIGHTS RESERVED. The support of the Economic and Social Research Council (UK) is gratefully acknowledged. The work was funded in part by ESRC (UK) Award Number H519 25 5023. 1 2 Contents 1 Introduction 5 1.1 What is BUGS? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 1.2 For what kind of problems is BUGS best suited? . . . . . . . . . . . . . . . . . . . . . 5 1.3 Markov Chain Monte Carlo (MCMC) techniques . . . . . . . . . . . . . . . . . . . . 5 1.4 A simple example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 1.5 Hardware platforms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 1.6 Software . . .
Model Choice: A Minimum Posterior Predictive Loss Approach
, 1998
"... Model choice is a fundamental and much discussed activity in the analysis of data sets. Hierarchical models introducing random effects can not be handled by classical methods. Bayesian approaches using predictive distributions can, though the formal solution, which includes Bayes factors as a specia ..."
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Cited by 59 (10 self)
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Model choice is a fundamental and much discussed activity in the analysis of data sets. Hierarchical models introducing random effects can not be handled by classical methods. Bayesian approaches using predictive distributions can, though the formal solution, which includes Bayes factors as a special case, can be criticized. We propose a predictive criterion where the goal is good prediction of a replicate of the observed data but tempered by fidelity to the observed values. We obtain this criterion by minimizing posterior loss for a given model and then, for models under consideration, select the one which minimizes this criterion. For a broad range of losses, the criterion emerges approximately as a form partitioned into a goodnessoffit term and a penalty term. In the context of generalized linear mixed effects models we obtain a penalized deviance criterion comprised of a piece which is a Bayesian deviance measure and a piece which is a penalty for model complexity. We illustrate ...
Hierarchical SpatioTemporal Mapping of Disease Rates
 Journal of the American Statistical Association
, 1996
"... Maps of regional morbidity and mortality rates are useful tools in determining spatial patterns of disease. Combined with sociodemographic census information, they also permit assessment of environmental justice, i.e., whether certain subgroups suffer disproportionately from certain diseases or oth ..."
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Cited by 51 (7 self)
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Maps of regional morbidity and mortality rates are useful tools in determining spatial patterns of disease. Combined with sociodemographic census information, they also permit assessment of environmental justice, i.e., whether certain subgroups suffer disproportionately from certain diseases or other adverse effects of harmful environmental exposures. Bayes and empirical Bayes methods have proven useful in smoothing crude maps of disease risk, eliminating the instability of estimates in lowpopulation areas while maintaining geographic resolution. In this paper we extend existing hierarchical spatial models to account for temporal effects and spatiotemporal interactions. Fitting the resulting highlyparametrized models requires careful implementation of Markov chain Monte Carlo (MCMC) methods, as well as novel techniques for model evaluation and selection. We illustrate our approach using a dataset of countyspecific lung cancer rates in the state of Ohio during the period 19681988...
Inference in longhorizon event studies: A bayesian approach with an application to initial public offerings
 Journal of Finance
, 2000
"... Statistical inference in longhorizon event studies has been hampered by the fact that abnormal returns are neither normally distributed nor independent. This study presents a new approach to inference that overcomes these difficulties and dominates other popular testing methods. I illustrate the us ..."
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Cited by 39 (3 self)
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Statistical inference in longhorizon event studies has been hampered by the fact that abnormal returns are neither normally distributed nor independent. This study presents a new approach to inference that overcomes these difficulties and dominates other popular testing methods. I illustrate the use of the methodology by examining the longhorizon returns of initial public offerings ~IPOs!. I find that the Fama and French ~1993! threefactor model is inconsistent with the observed longhorizon price performance of these IPOs, whereas a characteristicbased model cannot be rejected. RECENT EMPIRICAL STUDIES IN FINANCE document systematic longrun abnormal price reactions subsequent to numerous corporate activities. 1 Since these results imply that stock prices react with a long delay to publicly available information, they appear to be at odds with the Efficient Markets Hypothesis ~EMH!. Longrun event studies, however, are subject to serious statistical difficulties