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When I use family=quasipoisson in bayesglm(...), and then summary(...), it gives an estimate of $\sigma^2$ (the dispersion parameter) that is larger than the square of the estimate of $\sigma$ obtained using sim(...)@sigma, by a factor of $n/(n-p)$.
It appears that the former uses the divisor $n-p$, and the latter uses $n$, where $n$ = # observations and $p$ = # parameters.
This is also seen by comparing the SEs of the regression coefficients given by summary(...), which are larger than the SDs of the posteriors produced by sim(...), by a factor of $\sqrt{(n-p)/n}$.
I assume that a similar issue arises with family=quasibinomial, but I haven't checked that.
Is there a reason for this discrepancy? It certainly leads to worse frequentist coverage for credible intervals based on the posteriors.
The text was updated successfully, but these errors were encountered:
When I use family=quasipoisson in bayesglm(...), and then summary(...), it gives an estimate of$\sigma^2$ (the dispersion parameter) that is larger than the square of the estimate of $\sigma$ obtained using sim(...)@sigma, by a factor of $n/(n-p)$ .
It appears that the former uses the divisor$n-p$ , and the latter uses $n$ , where $n$ = # observations and $p$ = # parameters.
This is also seen by comparing the SEs of the regression coefficients given by summary(...), which are larger than the SDs of the posteriors produced by sim(...), by a factor of$\sqrt{(n-p)/n}$ .
I assume that a similar issue arises with family=quasibinomial, but I haven't checked that.
Is there a reason for this discrepancy? It certainly leads to worse frequentist coverage for credible intervals based on the posteriors.
The text was updated successfully, but these errors were encountered: