Royal Statistical Society Ordinary Meeting
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March 13, 2002, 5pm (Tea from 4.30pm)
at the Royal Statistical Society lecture room
12 Errol Street, London EC1Y 8LX.
Bayesian measures of model complexity and fit
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David Spiegelhalter (MRC Biostatistics Unit, Cambridge)
Nicola Best (Imperial College, London)
Bradley Carlin (University of Minnesota) and
Angelika van der Linde (University of Bremen)
Summary
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We investigate the estimation of the effective number of parameters,
denoted pD, in a Bayesian model by the difference between the posterior
mean of the deviance and the deviance at the posterior means of the
parameters of interest. A Deviance Information Criterion (DIC) may then
be obtained by adding the `complexity' pD to the `fit', taken as the
posterior mean deviance. These quantities are easy to compute using MCMC
methods and their use in comparing complex Bayesian models is illustrated.
A PDF copy of the paper can be downloaded from
http://www.rss.org.uk/publications/preprints.html#130302
Contact Anna Mair (email [log in to unmask]) at the RSS for further
details and for a hard copy of the paper (stating your full address).
Discussion at RSS ordinary meetings
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