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Posterior predictive p-values and the convex order

December 22, 2014

Patrick Rubin-Delanchy and Daniel Lawson [of Warhammer fame!] recently arXived a paper we had discussed with Patrick when he visited Andrew and I last summer in Paris. The topic is the evaluation of the posterior predictive probability of a larger discrepancy between data and model which acts like a Bayesian p-value of sorts. I discussed […]

posterior predictive distributions of Bayes factors

October 8, 2014

Once a Bayes factor B(y)  is computed, one needs to assess its strength. As repeated many times here, Jeffreys’ scale has no validation whatsoever, it is simply a division of the (1,∞) range into regions of convenience. Following earlier proposals in the literature (Box, 1980; García-Donato and Chen, 2005; Geweke and Amisano, 2008), an evaluation […]

posterior predictive checks for admixture models

July 8, 2014

In a posting coincidence, just a few days after we arXived our paper on ABC model choice with random forests, where we use posterior predictive errors for assessing the variability of the random forest procedure, David Mimno, David Blei, and Barbara Engelhardt arXived a paper on posterior predictive checks to quantify lack-of-fit in admixture models […]

accelerating MCMC via parallel predictive prefetching

April 7, 2014

¨The idea is to calculate multiple likelihoods ahead of time (“pre-fetching”), and only use the ones which are needed.” A. Brockwell, 2006 Yet another paper on parallel MCMC, just arXived by Elaine Angelino, Eddie Kohler, Amos Waterland, Margo Seltzer, and Ryan P. Adams. Now,  besides “prefetching” found in the title, I spotted “speculative execution”, “slapdash […]

posterior predictive p-values

February 4, 2014

Bayesian Data Analysis advocates in Chapter 6 using posterior predictive checks as a way of evaluating the fit of a potential model to the observed data. There is a no-nonsense feeling to it: “If the model fits, then replicated data generated under the model should look similar to observed data. To put it another way, […]