Bland–Altman Limits of Agreement from a Bayesian and Frequentist Perspective

Bland–Altman agreement analysis has gained widespread application across disciplines, last but not least in health sciences, since its inception in the 1980s. Bayesian analysis has been on the rise due to increased computational power over time, and Alari, Kim, and Wand have put Bland–Altman Limits of Agreement in a Bayesian framework (Meas.Phys.Educ.Exerc.Sci.2021,25,137–148). We contrasted the prediction of a single future observation and the estimation of the Limits of Agreement from the frequentist and a Bayesian perspective by analyzing interrater data of two sequentially conducted, preclinical studies. The estimation of the Limits of Agreement θ1 and θ2 has wider applicability than the prediction of single future differences. While a frequentist confidence interval represents a range of nonrejectable values for null hypothesis significance testing of H0: θ1 ≤ -δ or θ2 ≥ δ against H1: θ1 > -δ and θ2 < δ, with a predefined benchmark value δ, Bayesian analysis allows for direct interpretation of both the posterior probability of the alternative hypothesis and the likelihood of parameter values. We discuss group-sequential testing and nonparametric alternatives briefly. Frequentist simplicity does not beat Bayesian interpretability due to improved computational resources, but the elicitation and implementation of prior information demand caution. Accounting for clustered data (e.g., repeated measurements per subject) is well-established in frequentist, but not yet in Bayesian Bland–Altman analysis.

OPTIMAL AUXILIARY PRIORS AND REVERSIBLE JUMP PROPOSALS FOR A CLASS OF VARIABLE DIMENSION MODELS

This article develops a Markov chain Monte Carlo (MCMC) method for a class of models that encompasses finite and countable mixtures of densities and mixtures of experts with a variable number of mixture components. The method is shown to maximize the expected probability of acceptance for cross-dimensional moves and to minimize the asymptotic variance of sample average estimators under certain restrictions. The method can be represented as a retrospective sampling algorithm with an optimal choice of auxiliary priors and as a reversible jump algorithm with optimal proposal distributions. The method is primarily motivated by and applied to a Bayesian nonparametric model for conditional densities based on mixtures of a variable number of experts. The mixture of experts model outperforms standard parametric and nonparametric alternatives in out of sample performance comparisons in an application to Engel curve estimation. The proposed MCMC algorithm makes estimation of this model practical.

Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles*

We develop central limit theory for tail risk forecasts in general location–scale models. We do so for a wide range of risk measures, viz. distortion risk measures (DRMs) and expectiles. Two popular members of the class of DRMs are the Value-at-Risk and the Expected Shortfall. The forecasts we consider are motivated by a Pareto-type tail assumption for the innovations and allow for extrapolation beyond the range of available observations. Simulations reveal adequate coverage of the forecast intervals derived from the limit theory. An empirical application demonstrates that our estimators outperform nonparametric alternatives when forecasting extreme risk in sufficiently large samples.

Choice Inconsistencies among the Elderly: Evidence from Plan Choice in the Medicare Part D Program: Reply

We explore the in- and out-of-sample robustness of tests for choice inconsistencies based on parameter restrictions in parametric models, focusing on tests proposed by Ketcham, Kuminoff, and Powers (2016). We argue that their nonparametric alternatives are inherently conservative with respect to detecting mistakes. We then show that our parametric model is robust to KKP’s suggested specification checks, and that comprehensive goodness of fit measures perform better with our model than the expected utility model. Finally, we explore the robustness of our 2011 results to alternative normative assumptions highlighting the role of brand fixed effects and unobservable characteristics. (JEL D12, H51, I13, I18, J14)