Validation of Software for Bayesian Models Using Posterior Quantiles

This article presents a simulation-based method designed to establish the computational correctness of software developed to fit a specific Bayesian model, capitalizing on properties of Bayesian posterior distributions. We illustrate the validation technique with two examples. The validation method is shown to find errors in software when they exist and, moreover, the validation output can be informative about the nature and location of such errors. We also compare our method with that of an earlier approach.