English

Optimal compromise between incompatible conditional probability distributions, with application to Objective Bayesian Kriging

Statistics Theory 2018-12-18 v5 Statistics Theory

Abstract

Models are often defined through conditional rather than joint distributions, but it can be difficult to check whether the conditional distributions are compatible, i.e. whether there exists a joint probability distribution which generates them. When they are compatible, a Gibbs sampler can be used to sample from this joint distribution. When they are not, the Gibbs sampling algorithm may still be applied, resulting in a "pseudo-Gibbs sampler". We show its stationary probability distribution to be the optimal compromise between the conditional distributions, in the sense that it minimizes a mean squared misfit between them and its own conditional distributions. This allows us to perform Objective Bayesian analysis of correlation parameters in Kriging models by using univariate conditional Jeffreys-rule posterior distributions instead of the widely used multivariate Jeffreys-rule posterior. This strategy makes the full-Bayesian procedure tractable. Numerical examples show it has near-optimal frequentist performance in terms of prediction interval coverage.

Keywords

Cite

@article{arxiv.1703.07233,
  title  = {Optimal compromise between incompatible conditional probability distributions, with application to Objective Bayesian Kriging},
  author = {Joseph Muré},
  journal= {arXiv preprint arXiv:1703.07233},
  year   = {2018}
}
R2 v1 2026-06-22T18:52:33.724Z