2012
DOI: 10.1080/10618600.2012.681239
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Recentered Importance Sampling With Applications to Bayesian Model Validation

Abstract: Since its introduction in the early 90's, the idea of using importance sampling (IS) with Markov chain Monte Carlo (MCMC) has found many applications. This paper examines problems associated with its application to repeated evaluation of related posterior distributions with a particular focus on Bayesian model validation. We demonstrate that, in certain applications, the curse of dimensionality can be reduced by a simple modification of IS. In addition to providing new theoretical insight into the behaviour of… Show more

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Cited by 3 publications
(1 citation statement)
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“…A number of articles discuss the computational difficulties associated with Bayesian cross-validation, e.g. Alqallaf and Gustafson (2001); Bhattacharya and Haslett (2007); Bornn et al (2010); Lamnisos et al (2012);McVinish et al (2013); Vehtari et al (2017). We first define the object of interest, before presenting our estimator.…”
Section: Unbiased Bayesian Cross-validationmentioning
confidence: 99%
“…A number of articles discuss the computational difficulties associated with Bayesian cross-validation, e.g. Alqallaf and Gustafson (2001); Bhattacharya and Haslett (2007); Bornn et al (2010); Lamnisos et al (2012);McVinish et al (2013); Vehtari et al (2017). We first define the object of interest, before presenting our estimator.…”
Section: Unbiased Bayesian Cross-validationmentioning
confidence: 99%