Some Diagnostics of Maximum Likelihood and Posterior Nonnormality
最大似然估计与后验分布非正态性的若干诊断
Standard large-sample maximum likelihood and Bayesian inference, based on limiting multivariate normal distributions, may be dubious when applied with small or moderate sample sizes. We define and discuss several measures of nonnormality of MLE and posterior distributions that may be used as diagnostics and can indicate whether reparameterization will be effective in improving inferences. We begin by showing how the nonlinearity measures introduced by Beale and Bates and…