On the variability of case-deletion importance sampling weights in the Bayesian linear model
成果类型：
Article
署名作者：
Peruggia, M
刊物名称：
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
ISSN/ISSBN：
0162-1459
DOI：
10.2307/2291464
发表日期：
1997
页码：
199-207
关键词：
摘要：
I consider a standard specification of the Bayesian linear model and derive necessary and sufficient conditions for the variance of the case-deletion importance sampling weights to be finite. The conditions have an intuitive interpretation in terms of familiar frequentist measures of leverage and influence and are easy to verify. I present two real data examples in which the necessary conditions fail to hold for some observations and the corresponding importance sampling estimates are highly unreliable.