Bayesian sandwich posteriors for pseudo-true parameters. A discussion of "Bayesian inference with misspecified models" by Stephen Walker.

Journal of Statistical Planning and Inference

Volumn 143, Issue 10, 2013, Pages 1638-1642

  Hoff, Peter ^a   Wakefield, Jon ^a  

^a UNIVERSITY OF WASHINGTON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84881224769     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2013.05.014     Document Type: Note

References (14)

1. Geisser S., Cornfield J. Posterior distributions for multivariate normal parameters. Journal of Royal Statistical Society, Series B 1963, 25:368-376.
2. Gourieroux C., Montfort A., Trognon A. Pseudo-maximum likelihood methods. theory. Econometrica 1984, 52:681-700.
3. Hoff P.D. Extending the rank likelihood for semiparametric copula estimation. Annals of Applied Statistics 2007, 1(1):265-283.
4. Huber, P., 1967. The behavior of maximum likelihood estimators under non-standard conditions. In: LeCam, L., Neyman, J. (Eds.), Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability, University of California Press, pp. 221-233.
5. Johnson V. Bayes factors based on test statistics. Journal of the Royal Statistical Society, Series B 2005, 67:689-701.
6. Kauermann G., Carroll R. A note on the efficiency of sandwich covariance matrix estimation. Journal of the American Statistical Association 2001, 96:1387-1396.
7. Liang K., Zeger S. Longitudinal data analysis using generalized linear models. Biometrika 1986, 73:13-22.
8. Müller, U., 2011. Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix. Princeton University, Unpublished Manuscript.
9. Royall R. Model robust confidence intervals using maximum likelihood estimators. International Statistical Review 1986, 54:221-226.
10. Wakefield J. Bayes factors for genome-wide association studies. comparison with p-values. Genetic epidemiology 2009, 33(1):79-86.
11. Walker, S.G. Bayesian inference with misspecified models. Journal of Statistical Planning and Inference, in press.
12. White H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 1980, 48:1721-1746.
13. White H. Maximum likelihood estimation of misspecified models. Econometrica 1982, 50(1):1-25.
14. Zeger S., Liang K. Longitudinal data analysis for discrete and continuous outcomes. Biometrics 1986, 42:121-130.