Eugenia Buta et Hani Doss, COMPUTATIONAL APPROACHES FOR EMPIRICAL BAYES METHODS AND BAYESIAN SENSITIVITY ANALYSIS, Annals of statistics , 39(5), 2011, pp. 2658-2685
We consider situations in Bayesian analysis where we have a family of priors . h on the parameter ., where h varies continuously over a space H, and we deal with two related problems. The first involves sensitivity analysis and is stated as follows. Suppose we fix a function f of .. How do we efficiently estimate the posterior expectation of f(.) simultaneously for all h in H? The second problem is how do we identify subsets of H which give rise to reasonable choices of . h . We assume that we are able to generate Markov chain samples from the posterior for a finite number of the priors, and we develop a methodology, based on a combination of importance sampling and the use of control variates, for dealing with these two problems. The methodology applies very generally, and we show how it applies in particular to a commonly used model for variable selection in Bayesian linear regression, and give an illustration on the US crime data of Vandaele.