On the Variability of Case-Deletion Importance Sampling Weights in the Bayesian Linear Model
研究了贝叶斯线性模型中删除个案重要性抽样权重方差有限的充要条件，这些条件与频率学派中的杠杆和影响度量相关，并通过实例说明条件不满足时估计的不可靠性。
Abstract I consider a standard specification of the Bayesian linear model and derive necessary and sufficient conditions for the variance of the case-deletion importance sampling weights to be finite. The conditions have an intuitive interpretation in terms of familiar frequentist measures of leverage and influence and are easy to verify. I present two real data examples in which the necessary conditions fail to hold for some observations and the corresponding importance sampling estimates are highly unreliable.