Nuisance Parameters and the Use of Exploratory Graphical Methods in a Bayesian Analysis

Consider the problem of inference about a parameter . in the presence of a nuisance parameter v.In a Bayesian framework, a number of posterior distributions may be of interest, including the joint posterior of (., .), the marginal posterior of ., and the posterior of . conditional on different values of ..The interpretation of these various posteriors is greatly simplified if a transformation (., h(., .)) can be found so that . and h(., v) are approximately independent.In this article, we consider a graphical method for finding this independence transformation, motivated by techniques from exploratory data analysis.Some simple examples of the use of this method are given and some of the implications of this approximate independence in a Bayesian analysis are discussed.