Bayesian Estimation of the Discrepancy with Misspecified Parametric Models

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Date

2013

Authors

De Blasi, Pierpaolo
Walker, Stephen G.

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Abstract

We study a Bayesian model where we have made specific requests about the parameter values to be estimated. The aim is to find the parameter of a parametric family which minimizes a distance to the data generating density and then to estimate the discrepancy using nonparametric methods. We illustrate how coherent updating can proceed given that the standard Bayesian posterior from an unidentifiable model is inappropriate. Our updating is performed using Markov Chain Monte Carlo methods and in particular a novel method for dealing with intractable normalizing constants is required. Illustrations using synthetic data are provided.

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De Blasi, Pierpaolo, and Stephen G. Walker. "Bayesian estimation of the discrepancy with misspecified parametric models." Bayesian Analysis, Vol. 8, No. 4 (2013): 781-800.