Logarithmic pooling of priors linked by a deterministic simulation model

Citation
Gh. Givens et Pj. Roback, Logarithmic pooling of priors linked by a deterministic simulation model, J COMPU G S, 8(3), 1999, pp. 452-478
Citations number
45
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
ISSN journal
10618600 → ACNP
Volume
8
Issue
3
Year of publication
1999
Pages
452 - 478
Database
ISI
SICI code
1061-8600(199909)8:3<452:LPOPLB>2.0.ZU;2-E
Abstract
We consider Bayesian inference when priors and likelihoods are both availab le for inputs and outputs of a deterministic simulation model. This problem is fundamentally related to the issue of aggregating (i.e., pooling) exper t opinion. We survey alternative strategies for aggregation, then describe computational approaches for implementing pooled inference for simulation m odels. Our approach (1) numerically transforms all priors to the same space ; (2) uses log pooling to combine priors; and (3) then draws standard Bayes ian inference. We use importance sampling methods, including an iterative, adaptive approach that is more flexible and has less bias in some instances than a simpler alternative. Our exploratory examples are the first steps t oward extension of the approach for highly complex and even noninvertible m odels.