Bayesian sensitivity analysis with the Fisher-Rao metric

DOI10.1093/BIOMET/ASV026MaRDI QIDQ3455809zbMATH OpenOpenAlexFDO

Authors Sebastian Kurtek, Karthik Bharath

Publication date 11 December 2015

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.5150

zbMATH Keywords

geodesicRiemannian manifoldFisher-Rao metricinfluence analysisgeometric \(\epsilon\)-contamination

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric robustness (62G35) Statistics on manifolds (62R30)

Abstract: We propose a geometric framework to assess sensitivity of Bayesian procedures to modeling assumptions based on the nonparametric Fisher-Rao metric. While the framework is general in spirit, the focus of this article is restricted to metric-based diagnosis under two settings: assessing local and global robustness in Bayesian procedures to perturbations of the likelihood and prior, and identification of influential observations. The approach is based on the square-root representation of densities which enables one to compute geodesics and geodesic distances in analytical form, facilitating the definition of naturally calibrated local and global discrepancy measures. An important feature of our approach is the definition of a geometric $epsilon$-contamination class of sampling distributions and priors via intrinsic analysis on the space of probability density functions. We showcase the applicability of our framework on several simulated toy datasets as well as in real data settings for generalized mixed effects models, directional data and shape data.

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