Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models

Tomohiro Ando

Biometrika, 2007, vol. 94, issue 2, 443-458

Abstract: The problem of evaluating the goodness of the predictive distributions of hierarchical Bayesian and empirical Bayes models is investigated. A Bayesian predictive information criterion is proposed as an estimator of the posterior mean of the expected loglikelihood of the predictive distribution when the specified family of probability distributions does not contain the true distribution. The proposed criterion is developed by correcting the asymptotic bias of the posterior mean of the loglikelihood as an estimator of its expected loglikelihood. In the evaluation of hierarchical Bayesian models with random effects, regardless of our parametric focus, the proposed criterion considers the bias correction of the posterior mean of the marginal loglikelihood because it requires a consistent parameter estimator. The use of the bootstrap in model evaluation is also discussed. Copyright 2007, Oxford University Press.

Date: 2007
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