A Bayesian χ2 test for goodness-of-fit
Johnson, Valen E.
Ann. Statist., Tome 32 (2004) no. 1, p. 2361-2384 / Harvested from Project Euclid
This article describes an extension of classical χ2 goodness-of-fit tests to Bayesian model assessment. The extension, which essentially involves evaluating Pearson’s goodness-of-fit statistic at a parameter value drawn from its posterior distribution, has the important property that it is asymptotically distributed as a χ2 random variable on K−1 degrees of freedom, independently of the dimension of the underlying parameter vector. By examining the posterior distribution of this statistic, global goodness-of-fit diagnostics are obtained. Advantages of these diagnostics include ease of interpretation, computational convenience and favorable power properties. The proposed diagnostics can be used to assess the adequacy of a broad class of Bayesian models, essentially requiring only a finite-dimensional parameter vector and conditionally independent observations.
Publié le : 2004-12-14
Classification:  Bayesian model assessment,  Pearson’s chi-squared statistic,  posterior-predictive diagnostics, p-value,  Bayes factor,  intrinsic Bayes factor,  discrepancy functions,  62C10,  62E20
@article{1107794872,
     author = {Johnson, Valen E.},
     title = {A Bayesian $\chi$<sup>2</sup> test for goodness-of-fit},
     journal = {Ann. Statist.},
     volume = {32},
     number = {1},
     year = {2004},
     pages = { 2361-2384},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1107794872}
}
Johnson, Valen E. A Bayesian χ2 test for goodness-of-fit. Ann. Statist., Tome 32 (2004) no. 1, pp.  2361-2384. http://gdmltest.u-ga.fr/item/1107794872/