Archive for Edgeworth expansions

robust inference using posterior bootstrap

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , , , on February 18, 2022 by xi'an

The famous 1994 Read Paper by Michael Newton and Adrian Raftery was entitled Approximate Bayesian inference, where the boostrap aspect is in randomly (exponentially) weighting each observation in the iid sample through a power of the corresponding density, a proposal that happened at about the same time as Tony O’Hagan suggested the related fractional Bayes factor. (The paper may also be equally famous for suggesting the harmonic mean estimator of the evidence!, although it only appeared as an appendix to the paper.) What is unclear to me is the nature of the distribution g(θ) associated with the weighted bootstrap sample, conditional on the original sample, since the outcome is the result of a random Exponential sample and of an optimisation step. With no impact of the prior (which could have been used as a penalisation factor), corrected by Michael and Adrian via an importance step involving the estimation of g(·).

At the Algorithm Seminar today in Warwick, Emilie Pompe presented recent research, including some written jointly with Pierre Jacob, [which I have not yet read] that does exactly that inclusion of the log prior as penalisation factor, along with an extra weight different from one, as motivated by the possibility of a misspecification. Including a new approach to cut models. An alternative mentioned during the talk that reminds me of GANs is to generate a pseudo-sample from the prior predictive and add it to the original sample. (Some attendees commented on the dependence of the later version on the chosen parameterisation, which is an issue that had X’ed my mind as well.)

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