Monte Carlo Methods in Bayesian Computation

Chen, Ming-Hui; Shao, Qi-Man; Ibrahim, Joseph George

ISBN 10: 0387989358 / ISBN 13: 9780387989358

Published by Springer, 2000

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Bibliographic Details

• Title: Monte Carlo Methods in Bayesian Computation
• Publisher: Springer
• Publication Date: 2000
• Language: English
• ISBN 10: 0387989358
• ISBN 13: 9780387989358
• Binding: Hardcover
• Condition: As New

About this title

Synopsis

Sampling from the posterior distribution and computing posterior quanti­ ties of interest using Markov chain Monte Carlo (MCMC) samples are two major challenges involved in advanced Bayesian computation. This book examines each of these issues in detail and focuses heavily on comput­ ing various posterior quantities of interest from a given MCMC sample. Several topics are addressed, including techniques for MCMC sampling, Monte Carlo (MC) methods for estimation of posterior summaries, improv­ ing simulation accuracy, marginal posterior density estimation, estimation of normalizing constants, constrained parameter problems, Highest Poste­ rior Density (HPD) interval calculations, computation of posterior modes, and posterior computations for proportional hazards models and Dirichlet process models. Also extensive discussion is given for computations in­ volving model comparisons, including both nested and nonnested models. Marginal likelihood methods, ratios of normalizing constants, Bayes fac­ tors, the Savage-Dickey density ratio, Stochastic Search Variable Selection (SSVS), Bayesian Model Averaging (BMA), the reverse jump algorithm, and model adequacy using predictive and latent residual approaches are also discussed. The book presents an equal mixture of theory and real applications.

About the Author

Ming-Hui Chen is Associate Professor of Mathematical Sciences at Worcester Polytechnic Institute. Qu-Man Shao is Assistant Professor of Mathematics at the University of Oregon. Joseph G. Ibrahim is Associate Professor of Biostatistics at the Harvard School of Public Health and Dana-Farber Cancer Institute.