On posterior concentration in misspecified models

DOI10.1214/15-BA941zbMATH Open1335.62022arXiv1312.4620MaRDI QIDQ273635FDOQ273635

Karthik Sriram, Ryan Martin, R. V. Ramamoorthi

Publication date: 22 April 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: We investigate the asymptotic behavior of Bayesian posterior distributions under independent and identically distributed ($i.i.d.$) misspecified models. More specifically, we study the concentration of the posterior distribution on neighborhoods of $f^{star}$, the density that is closest in the Kullback--Leibler sense to the true model $f_0$. We note, through examples, the need for assumptions beyond the usual Kullback--Leibler support assumption. We then investigate consistency with respect to a general metric under three assumptions, each based on a notion of divergence measure, and then apply these to a weighted $L_1$-metric in convex models and non-convex models. Although a few results on this topic are available, we believe that these are somewhat inaccessible due, in part, to the technicalities and the subtle differences compared to the more familiar well-specified model case. One of our goals is to make some of the available results, especially that of , more accessible. Unlike their paper, our approach does not require construction of test sequences. We also discuss a preliminary extension of the $i.i.d.$ results to the independent but not identically distributed ($i.n.i.d.$) case.

Full work available at URL: https://arxiv.org/abs/1312.4620

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zbMATH Keywords

BayesianconsistencyKullback-Leiblermisspecified

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Nonparametric regression and quantile regression (62G08) Asymptotic distribution theory in statistics (62E20) Bayesian problems; characterization of Bayes procedures (62C10) Strong limit theorems (60F15)

Cites Work

• Bayesian quantile regression
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• Limiting Behavior of Posterior Distributions when the Model is Incorrect
• Asymptotic behavior of Bayes estimates under possibly incorrect models
• Bayesian nonparametrics
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Cited In (16)

• Bayesian fractional posteriors
• Robust sparse Bayesian infinite factor models
• What About the Posterior Distributions When the Model is Non-dominated?
• On Bayesian quantile regression using a pseudo-joint asymmetric Laplace likelihood
• Misspecification in infinite-dimensional Bayesian statistics
• Gibbs posterior inference on the minimum clinically important difference
• On Rates of Convergence for Posterior Distributions Under Misspecification
• Asymptotic properties of posterior distributions derived from misspecified models
• A comparison of learning rate selection methods in generalized Bayesian inference
• General Robust Bayes Pseudo-Posteriors: Exponential Convergence Results with Applications
• Gibbs posterior concentration rates under sub-exponential type losses
• Posterior concentration for a misspecified Bayesian regression model with functional covariates
• A note on a posterior approximation in a heteroscedastic model
• A review of Bayesian asymptotics in general insurance applications
• Model Misspecification in Approximate Bayesian Computation: Consequences and Diagnostics
• Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors

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