Model checking and improvement
Andrew Gelman, John B. Carlin, Hal S. Stern, Donald B. Rubin · 1995
Once we have accomplished the first two steps of a Bayesian analysis-constructing a probability model and computing (typically using simulation) 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 the model.