Approximated information analysis in Bayesian inference

DOI10.3390/E17031441MaRDI QIDQ294277zbMATH OpenOpenAlexFDO

Authors Jung-In Seo, Yongku Kim

Publication date 15 June 2016

Published in Entropy (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3390/e17031441

zbMATH Keywords

Bayesian sensitivityGibbs samplerKullback-Leibler divergenceLaplace approximation

Mathematics Subject Classification ID

Bayesian inference (62F15)

Review text

Summary: In models with nuisance parameters, Bayesian procedures based on Markov Chain Monte Carlo (MCMC) methods have been developed to approximate the posterior distribution of the parameter of interest. Because these procedures require burdensome computations related to the use of MCMC, approximation and convergence in these procedures are important issues. In this paper, we explore Gibbs sensitivity by using an alternative to the full conditional distribution of the nuisance parameter. The approximate sensitivity of the posterior distribution of interest is studied in terms of an information measure, including Kullback-Leibler divergence. As an illustration, we then apply these results to simple spatial model settings.

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Cites work

• A Mathematical Theory of Communication
• Accurate Approximations for Posterior Moments and Marginal Densities
• Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
• Approximate Posterior Distributions
• On Information and Sufficiency

Cited in

(10)

• MCMC-based local parametric sensitivity estimations
• A further note on Bayesian information topologies
• Inversion of Bayes formula and measures of Bayesian information gain and pairwise dependence
• Approximated sensitivity analysis in posterior predictive distribution
• Role of information in classical and Bayesian modelling
• An information-theoretic approach to effective inference for Z-functionals
• Information-theoretic asymptotics of Bayes methods
• Information-Based Evaluation of Approximation Methods in Dempster-Shafer Theory
• Bayesian or Laplacien inference, entropy and information theory and information geometry in data and signal processing
• Accuracy of posterior approximations via ^2 and harmonic divergences

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