A Comparison of Inverse-Wishart Prior Specifications for Covariance Matrices in Multilevel Autoregressive Models. (3rd May 2016)

• Record Type: Journal Article
• Authors: Schuurman, N. K.; Grasman, R. P. P. P.; Hamaker, E. L.
• Is Part Of: Multivariate behavioral research. Volume 51:Number 2/3(2016)
• Page Start: 185
• Page End: 206
• Publication Date: 2016-05-03
• Subjects: covariance matrix -- Inverse-Wishart -- hierarchical Bayesian modeling -- multilevel autoregressive model -- noninformative prior -- time series; Psychometrics -- Periodicals; Psychology, Experimental -- Periodicals; Psychology, Experimental; Psychometrics; Periodicals; 150.15195
• DOI: 10.1080/00273171.2015.1065398
• Languages: English
• ISSNs: 0027-3171

Abstract

ABSTRACT: Multilevel autoregressive models are especially suited for modeling between-person differences in within-person processes. Fitting these models with Bayesian techniques requires the specification of prior distributions for all parameters. Often it is desirable to specify prior distributions that have negligible effects on the resulting parameter estimates. However, the conjugate prior distribution for covariance matrices—the Inverse-Wishart distribution—tends to be informative when variances are close to zero. This is problematic for multilevel autoregressive models, because autoregressive parameters are usually small for each individual, so that the variance of these parameters will be small. We performed a simulation study to compare the performance of three Inverse-Wishart prior specifications suggested in the literature, when one or more variances for the random effects in the multilevel autoregressive model are small. Our results show that the prior specification that uses plug-in ML estimates of the variances performs best. We advise to always include a sensitivity analysis for the prior specification for covariance matrices of random parameters, especially in autoregressive models, and to include a data-based prior specification in this analysis. We illustrate such an analysis by means of an empirical application on repeated measures data on worrying and positive affect.