A simple predictive density based on the p*-formula
A simple predictive density based on the p*-formula
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基于 p* 公式的简单预测密度
DOI：
10.1093/biomet/82.4.855
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发表时间：
1995
期刊：
影响因子：
2.7
通讯作者：
P. Vidoni
中科院分区：
文献类型：
--
作者：
P. Vidoni
Harris（1989）提出的预测密度是基于对一个新观测值的密度相对于未知参数的最大似然估计的估计抽样分布进行积分。这具有良好的性质，但即使对于简单的模型，计算也相当复杂。本文考虑了Harris方案的一个近似，它由Barndorff-Nielsen（1983）的p ~* -公式近似未知参数的极大似然估计的抽样分布，然后用带有O（n-1）个校正项的拉普拉斯近似积分出参数。结果通常可以用标准似然导数表示，对于指数族和位置模型，其形式非常简单。
The predictive density proposed by Harris (1989) is based on integrating the density for a new observation with respect to the estimated sampling distribution of the maximum likelihood estimator of the unknown parameter. This has good properties, but is rather complicated to compute even for simple models. An approximation to the Harris proposal is considered which consists of approximating the sampling distribution of the maximum likelihood estimator of the unknown parameter by Barndorff-Nielsen's (1983) p * -formula, and then using a Laplace approximation with O(n -1 ) correction terms for integrating out the parameter. The result can generally be expressed in terms of standard likelihood derivatives, and takes a quite simple form for exponential families and for location models.