A note on fiducial model averaging as an alternative to checking Bayesian and frequentist models

David R. Bickel

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 13, 3125-3137

Abstract: Just as frequentist hypothesis tests have been developed to check model assumptions, prior predictive p-values and other Bayesian p-values check prior distributions as well as other model assumptions. These model checks not only suffer from the usual threshold dependence of p-values, but also from the suppression of model uncertainty in subsequent inference. One solution is to transform Bayesian and frequentist p-values for model assessment into a fiducial distribution across the models. Averaging the Bayesian or frequentist posterior distributions with respect to the fiducial distribution can reproduce results from Bayesian model averaging or classical fiducial inference.

Date: 2018
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DOI: 10.1080/03610926.2017.1348522

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