Bayesian measures of model complexity and fit

• 成果类型: Article; Proceedings Paper
• 署名作者: Spiegelhalter, DJ; Best, NG; Carlin, BR; van der Linde, A
• 署名单位: University of Cambridge; MRC Biostatistics Unit; Imperial College London; University of Minnesota System; University of Minnesota Twin Cities; University of Bremen
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/1467-9868.00353
• 发表日期: 2002
• 页码: 583-616
• 关键词: information; likelihood; inference; CHOICE; diagnostics; mixtures; BEHAVIOR; number; priors

摘要

We consider the problem of comparing complex hierarchical models in which the number of parameters is not clearly defined. Using an information theoretic argument we derive a measure P-D for the effective number of parameters in a model as the difference between the posterior mean of the deviance and the deviance at the posterior means of the parameters of interest. In general P-D approximately corresponds to the trace of the product of Fisher's information and the posterior covariance, which in normal models is the trace of the 'hat' matrix projecting observations onto fitted values. Its properties in exponential families are explored. The posterior mean deviance is suggested as a Bayesian measure of fit or adequacy, and the contributions of individual observations to the fit and complexity can give rise to a diagnostic plot of deviance residuals against leverages. Adding P-D to the posterior mean deviance gives a deviance information criterion for comparing models, which is related to other information criteria and has an approximate decision theoretic justification. The procedure is illustrated in some examples, and comparisons are drawn with alternative Bayesian and classical proposals. Throughout it is emphasized that the quantities required are trivial to compute in a Markov chain Monte Carlo analysis.