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Bayesian Data Analysis, Third Edition, 3rd Edition by Donald B. Rubin, Aki Vehtari, David B. Dunson, Hal S. Stern, John B. Carlin, Andrew Gelman

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Chapter 6

Model checking

6.1   The place of model checking in applied Bayesian statistics

Once we have accomplished the first two steps of a Bayesian analysis—constructing a probability model and computing the posterior distribution of all estimands—we should not ignore the relatively easy step of assessing the fit of the model to the data and to our substantive knowledge. It is difficult to include in a probability distribution all of one’s knowledge about a problem, and so it is wise to investigate what aspects of reality are not captured by ...

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