The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Abstract Details
Activity Number:
|
74
|
Type:
|
Contributed
|
Date/Time:
|
Sunday, July 31, 2011 : 4:00 PM to 5:50 PM
|
Sponsor:
|
Section on Bayesian Statistical Science
|
Abstract - #301900 |
Title:
|
On the Credible Interval Assuming a Mixture Prior in High Dimension
|
Author(s):
|
Zhigen Zhao*+
|
Companies:
|
Temple University
|
Address:
|
Speakman Hall 346, Philadelphia, PA, 19122,
|
Keywords:
|
Decision Bayes ;
Loss Function ;
Two Groups Model ;
Mixture Prior
|
Abstract:
|
In this paper, we consider the construction of the credible interval under the canonical Bayes model when assuming the parameter of interest follows a prior distribution which is a mixture of zero with probability pi0 and another non-trivial distribution. where pi0 is usually very large. This implies that the posterior probability of the parameter being zero is also large, saying greater than 5% in many cases. The traditional approaches constructing 95% credible intervals, such as the equal-tail credible interval, will always enclose zero, and appear to be statistical useless.
In this paper, we use the decision Bayes approach to guide us constructing a mixture credible interval. When there is overwhelming evidence that the parameter is nonzero, we scrutinize the non-zero component of the posterior distribution and consider the equal-tail credible interval. Otherwise, the interval is the union of such an equal-tail interval and zero. The paper provides a systematic way in deciding when to include zero, guaranteeing the coverage probability.
We have further applied this interval construction to a real data set. Come and see how it works out.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2011 program
|
2011 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.