Frequentist standard errors of Bayes estimators

DongHyuk Lee (), Raymond J. Carroll () and Samiran Sinha ()
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DongHyuk Lee: Texas A&M University
Raymond J. Carroll: Texas A&M University
Samiran Sinha: Texas A&M University

Computational Statistics, 2017, vol. 32, issue 3, No 3, 867-888

Abstract: Abstract Frequentist standard errors are a measure of uncertainty of an estimator, and the basis for statistical inferences. Frequestist standard errors can also be derived for Bayes estimators. However, except in special cases, the computation of the standard error of Bayesian estimators requires bootstrapping, which in combination with Markov chain Monte Carlo can be highly time consuming. We discuss an alternative approach for computing frequentist standard errors of Bayesian estimators, including importance sampling. Through several numerical examples we show that our approach can be much more computationally efficient than the standard bootstrap.

Keywords: Bootstrap; Importance sampling; Markov chain; Posterior distribution; Standard error; Tail probability (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s00180-017-0710-x

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