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43 views

How would you validate a random walk model?

I have used a random walk model and Gibbs sampling (more specifically RJAGS) in order to obtain posterior of the state given the observations. In this case the state is the true proportion of the ...
2
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0answers
72 views

Model validation in Bayesian statistics from a model with latent variables

I am working with some two-regime autoregressive models first introduced by Hamilton in 1989. The specific models is of no great concern to my question, but some variables within my autoregressive ...
2
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1answer
77 views

Bayesian $\chi^2$ discrepancy

We define the $\chi^2$ discrepancy as $$T(y,\theta)=\sum_i\frac{(y_i-E(y_i|\theta))^2}{\mathrm{var}(y_i|\theta)}$$ (definition from Gelman). How do we apply this if $\theta$ is a random variable, and ...
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107 views

Validation of Bayesian hierarchical model [duplicate]

Possible Duplicate: Validation techniques for hierarchical model I already posted this to Math.SE, but I realized this would probably be a better place to post to. I have a hierarchical ...