Bayesian inference using a noninformative prior for linear Gaussian random coefficient regression with inhomogeneous within-class variances

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• 作者：Clemens Elster ; Gerd Wübbeler
• 关键词：Random coefficient regression ; Bayesian inference ; Noninformative prior
• 刊名：Computational Statistics
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：32
• 期：1
• 页码：51-69
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Statistics, general; Probability and Statistics in Computer Science; Probability Theory and Stochastic Processes; Economic Theory/Quantitative Economics/Mathematical Methods;
• 出版者：Springer Berlin Heidelberg
• ISSN：1613-9658
• 卷排序：32

文摘

A Bayesian inference for a linear Gaussian random coefficient regression model with inhomogeneous within-class variances is presented. The model is motivated by an application in metrology, but it may well find interest in other fields. We consider the selection of a noninformative prior for the Bayesian inference to address applications where the available prior knowledge is either vague or shall be ignored. The noninformative prior is derived by applying the Berger and Bernardo reference prior principle with the means of the random coefficients forming the parameters of interest. We show that the resulting posterior is proper and specify conditions for the existence of first and second moments of the marginal posterior. Simulation results are presented which suggest good frequentist properties of the proposed inference. The calibration of sonic nozzle data is considered as an application from metrology. The proposed inference is applied to these data and the results are compared to those obtained by alternative approaches.