Using history matching for prior choice

Xueou, Wang, Nott, David J., Drovandi, Christopher C., Mengersen, Kerrie, & Evans, Michael (2016) Using history matching for prior choice. [Working Paper] (Unpublished)

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Abstract

It can be important in Bayesian analyses of complex models to construct informative prior distributions which reflect knowledge external to the data at hand. Nevertheless, how much prior information an analyst is able to use in constructing a prior distribution will be limited for practical reasons, with checks for model adequacy and prior-data conflict an essential part of the justification for the finally chosen prior and model. This paper develops effective numerical methods for exploring reasonable choices of a prior distribution from a parametric class, when prior information is specified in the form of some limited constraints on prior predictive distributions, and where these prior predictive distributions are analytically intractable. The methods developed may be thought of as a novel application of the ideas of history matching, a technique developed in the literature on assessment of computer models. We illustrate the approach in the context of logistic regression and sparse signal shrinkage prior distributions for high-dimensional linear models.

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ID Code: 95644
Item Type: Working Paper
Refereed: No
Keywords: Approximate Bayesian computation, Bayesian inference, History matching, Prior elicitation
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400)
Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Applied Statistics (010401)
Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Statistical Theory (010405)
Divisions: Current > Schools > School of Mathematical Sciences
Current > QUT Faculties and Divisions > Science & Engineering Faculty
Funding:
  • DECRA/DE160100741
Copyright Owner: Copyright 2016 [please consult the authors]
Deposited On: 18 May 2016 23:10
Last Modified: 19 May 2016 02:00

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