Computing quantities of interest and their uncertainty using Bayesian simulation

Abstract

When analyzing data, researchers are often less interested in the parameters of statistical models than in functions of these parameters such as predicted values. Here we show that Bayesian simulation with Markov-Chain Monte Carlo tools makes it easy to compute these quantities of interest with their uncertainty. We illustrate how to produce customary and relatively new quantities of interest such as variable importance ranking, posterior predictive data, difficult marginal effects, and model comparison statistics to allow researchers to report more informative results.