文章基本信息

标题：Sensitivity Analysis for Bayesian Hierarchical Models
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作者：Małgorzata Roos ; Thiago G. Martins ; Leonhard Held 等
期刊名称：Bayesian Analysis
印刷版ISSN：1931-6690
电子版ISSN：1936-0975
出版年度：2015
卷号：10
期号：2
页码：321-349
DOI：10.1214/14-BA909
语种：English
出版社：International Society for Bayesian Analysis
摘要：Prior sensitivity examination plays an important role in applied Bayesian analyses. This is especially true for Bayesian hierarchical models, where interpretability of the parameters within deeper layers in the hierarchy becomes challenging. In addition, lack of information together with identifiability issues may imply that the prior distributions for such models have an undesired influence on the posterior inference. Despite its importance, informal approaches to prior sensitivity analysis are currently used. They require repetitive re-fits of the model with ad-hoc modified base prior parameter values. Other formal approaches to prior sensitivity analysis suffer from a lack of popularity in practice, mainly due to their high computational cost and absence of software implementation. We propose a novel formal approach to prior sensitivity analysis, which is fast and accurate. It quantifies sensitivity without the need for a model re-fit. Through a series of examples we show how our approach can be used to detect high prior sensitivities of some parameters as well as identifiability issues in possibly over-parametrized Bayesian hierarchical models.