کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1150422 957932 2009 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal use of historical information
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Optimal use of historical information
چکیده انگلیسی
When historical data are available, incorporating them in an optimal way into the current data analysis can improve the quality of statistical inference. In Bayesian analysis, one can achieve this by using quality-adjusted priors of Zellner, or using power priors of Ibrahim and coauthors. These rules are constructed by raising the prior and/or the sample likelihood to some exponent values, which act as measures of compatibility of their quality or proximity of historical data to current data. This paper presents a general, optimum procedure that unifies these rules and is derived by minimizing a Kullback-Leibler divergence under a divergence constraint. We show that the exponent values are directly related to the divergence constraint set by the user and investigate the effect of this choice theoretically and also through sensitivity analysis. We show that this approach yields '100% efficient' information processing rules in the sense of Zellner. Monte Carlo experiments are conducted to investigate the effect of historical and current sample sizes on the optimum rule. Finally, we illustrate these methods by applying them on real data sets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 139, Issue 12, 1 December 2009, Pages 4051-4063
نویسندگان
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