The Difference Method Approach for Sampling Order Constrained Parameters: An Improved Implementation and Important Limitations

This study has investigated these three issues for ordered inputs bounded between 0 and 1. An analytic solution is given that allows for more straightforward and compact implementation. The difference method approach cannot always be applied to a set of three or more model inputs, and this depends on the relative size of the variances of the logit-transformed Beta distributions fitted to each variable. The approach can also produce samples with biased means and variances under certain combinations of input means and variances. It is recommended that the difference method approach be used where appropriate; however, an understanding of its limitations is necessary to identify such cases.
Source: PharmacoEconomics - Category: Health Management Source Type: research