27 April 2016
We are learning about evaluating goodness-of-fit for probabilistic graphical models using posterior predictive checks in my MIT Bayesian modeling class this week. I collected a few useful references:
Perusing these articles, I was surprised to learn that many Bayesians don’t think it is necessary to check the adequacy of a choice of prior distribution, since it is “subjective”. I agree more with the Gelman/Shalizi idea that choosing a prior is just another part of the model and should be checked, just like one would do in the frequentist context by, for example, evaluation on a with-held test set.