An illustration of the risk of borrowing information via a shared likelihood

P. Richard Hahn

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arXiv · 1905.09715

An illustration of the risk of borrowing information via a shared likelihood

P. Richard Hahn

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Abstract

A concrete, stylized example illustrates that inferences may be degraded, rather than improved, by incorporating supplementary data via a joint likelihood. In the example, the likelihood is assumed to be correctly specified, as is the prior over the parameter of interest; all that is necessary for the joint modeling approach to suffer is misspecification of the prior over a nuisance parameter.

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P. Richard Hahn. 2019-05-23. An illustration of the risk of borrowing information via a shared likelihood. https://arxiv.org/abs/1905.09715

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