Nonparametric hierarchical Bayes analysis of binomial data via Bernstein polynomial priors

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Nonparametric hierarchical Bayes analysis of binomial data via Bernstein polynomial priors

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Title: Nonparametric hierarchical Bayes analysis of binomial data via Bernstein polynomial priors
Author: Zhang, Tingting; Liu, Jun

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Citation: Zhang, Tingting, and Jun S. Liu. 2012. “Nonparametric Hierarchical Bayes Analysis of Binomial Data via Bernstein Polynomial Priors.” Canadian Journal of Statistics 40 (2) (May 17): 328–344. doi:10.1002/cjs.11133.
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Abstract: For binomial data analysis, many methods based on empirical Bayes interpretations have been developed, in which a variance-stabilizing transformation and a normality assumption are usually required. To achieve the greatest model flexibility, we conduct nonparametric Bayesian inference for binomial data and employ a special nonparametric Bayesian prior—the Bernstein–Dirichlet process (BDP)—in the hierarchical Bayes model for the data. The BDP is a special Dirichlet process (DP) mixture based on beta distributions, and the posterior distribution resulting from it has a smooth density defined on [0, 1]. We examine two Markov chain Monte Carlo procedures for simulating from the resulting posterior distribution, and compare their convergence rates and computational efficiency. In contrast to existing results for posterior consistency based on direct observations, the posterior consistency of the BDP, given indirect binomial data, is established. We study shrinkage effects and the robustness of the BDP-based posterior estimators in comparison with several other empirical and hierarchical Bayes estimators, and we illustrate through examples that the BDP-based nonparametric Bayesian estimate is more robust to the sample variation and tends to have a smaller estimation error than those based on the DP prior. In certain settings, the new estimator can also beat Stein's estimator, Efron and Morris's limited-translation estimator, and many other existing empirical Bayes estimators.
Published Version: doi:10.1002/cjs.11133
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:33719926
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