Approximation of Bayesian predictive p-values with regression ABC

Nott, David J., Drovandi, Christopher C., Mengersen, Kerrie, & Evans, Michael (2016) Approximation of Bayesian predictive p-values with regression ABC. Bayesian Analysis. (In Press)

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Abstract

In the Bayesian framework a standard approach to model criticism is to compare some function of the observed data to a reference predictive distribution. The result of the comparison can be summarized in the form of a p-value, and computation of some kinds of Bayesian predictive p-values can be challenging. The use of regression adjustment approximate Bayesian computation (ABC) methods is explored for this task. Two problems are considered. The first is approximation of distributions of prior predictive p-values for the purpose of choosing weakly informative priors in the case where the model checking statistic is expensive to compute. Here the computation is difficult because of the need to repeatedly sample from a prior predictive distribution for different values of a prior hyperparameter. The second problem considered is the calibration of posterior predictive p-values so that they are uniformly distributed under some reference distribution for the data. Computation is difficult because the calibration process requires repeated approximation of the posterior for different data sets under the reference distribution. In both these problems we argue that high accuracy in the computations is not required, which makes fast approximations such as regression adjustment ABC very useful. We illustrate our methods with several examples.

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ID Code: 79572
Item Type: Journal Article
Refereed: Yes
Keywords: ABC, Bayesian inference, Bayesian p-values, posterior predictive check, prior predictive check, weak informative prior
DOI: 10.1214/16-BA1033
ISSN: 1931-6690
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400)
Divisions: Current > Research Centres > ARC Centre of Excellence for Mathematical & Statistical Frontiers (ACEMS)
Current > Schools > School of Mathematical Sciences
Current > QUT Faculties and Divisions > Science & Engineering Faculty
Copyright Owner: 2016 International Society for Bayesian Analysis
Deposited On: 18 Dec 2014 04:46
Last Modified: 10 Jan 2017 14:54

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