Stability of doubly-intractable distributions

DOI10.1214/20-ECP341zbMATH Open1448.60009OpenAlexW3083983705MaRDI QIDQ2201541FDOQ2201541

Authors Michael Habeck, Daniel Rudolf, Björn Sprungk

Publication date 29 September 2020

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.07310

zbMATH Keywords

Wasserstein distancestabilitydoubly-intractable distributions

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Monte Carlo methods (65C05) Bayesian problems; characterization of Bayes procedures (62C10)

Abstract: Doubly-intractable distributions appear naturally as posterior distributions in Bayesian inference frameworks whenever the likelihood contains a normalizing function $Z$. Having two such functions $Z$ and $widetildeZ$ we provide estimates of the total variation and Wasserstein distance of the resulting posterior probability measures. As a consequence this leads to local Lipschitz continuity w.r.t. $Z$. In the more general framework of a random function $widetildeZ$ we derive bounds on the expected total variation and expected Wasserstein distance. The applicability of the estimates is illustrated within the setting of two representative Monte Carlo recovery scenarios.

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(3)

• On the theoretical properties of the exchange algorithm
• On Russian roulette estimates for Bayesian inference with doubly-intractable likelihoods
• Bayesian Inverse Problems Are Usually Well-Posed

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