calibrating approximate credible sets

Earlier this week, Jeong Eun Lee, Geoff Nicholls, and Robin Ryder arXived a paper on the calibration of approximate Bayesian credible intervals. (Warning: all three authors are good friends of mine!) They start from the core observation that dates back to Monahan and Boos (1992) of exchangeability between θ being generated from the prior and φ being generated from the posterior associated with one observation generated from the prior predictive. (There is no name for this distribution, other than the prior, that is!) A setting amenable to ABC considerations! Actually, Prangle et al. (2014) relies on this property for assessing the ABC error, while pointing out that the test for exchangeability is not fool-proof since it works equally for two generations from the prior.

“The diagnostic tools we have described cannot be “fooled” in quite the same way checks based on the exchangeability can be.”

The paper thus proposes methods for computing the coverage [under the true posterior] of a credible set computed using an approximate posterior. (I had to fire up a few neurons to realise this was the right perspective, rather than the reverse!) A first solution to approximate the exact coverage of the approximate credible set is to use logistic regression, instead of the exact coverage, based on some summary statistics [not necessarily in an ABC framework]. And a simulation outcome that the parameter [simulated from the prior] at the source of the simulated data is within the credible set. Another approach is to use importance sampling when simulating from the pseudo-posterior. However this sounds dangerously close to resorting to an harmonic mean estimate, since the importance weight is the inverse of the approximate likelihood function. Not that anything unseemly transpires from the simulations.

 

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