Bayesian sandwich posteriors for pseudo-true parameters
From MaRDI portal
Publication:394764
DOI10.1016/J.JSPI.2013.05.014zbMATH Open1432.62055arXiv1211.0087OpenAlexW2963019110MaRDI QIDQ394764FDOQ394764
Authors: Jon Wakefield, Peter D. Hoff 
Publication date: 27 January 2014
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Abstract: Under model misspecification, the MLE generally converges to the pseudo-true parameter, the parameter corresponding to the distribution within the model that is closest to the distribution from which the data are sampled. In many problems, the pseudo-true parameter corresponds to a population parameter of interest, and so a misspecified model can provide consistent estimation for this parameter. Furthermore, the well-known sandwich variance formula of Huber(1967) provides an asymptotically accurate sampling distribution for the MLE, even under model misspecification. However, confidence intervals based on a sandwich variance estimate may behave poorly for low sample sizes, partly due to the use of a plug-in estimate of the variance. From a Bayesian perspective, plug-in estimates of nuisance parameters generally underrepresent uncertainty in the unknown parameters, and averaging over such parameters is expected to give better performance. With this in mind, we present a Bayesian sandwich posterior distribution, whose likelihood is based on the sandwich sampling distribution of the MLE. This Bayesian approach allows for the incorporation of prior information about the parameter of interest, averages over uncertainty in the nuisance parameter and is asymptotically robust to model misspecification. In a small simulation study on estimating a regression parameter under heteroscedasticity, the addition of accurate prior information and the averaging over the nuisance parameter are both seen to improve the accuracy and calibration of confidence intervals for the parameter of interest.
Full work available at URL: https://arxiv.org/abs/1211.0087
Cites Work
- Extending the rank likelihood for semiparametric copula estimation
- Maximum Likelihood Estimation of Misspecified Models
- Pseudo Maximum Likelihood Methods: Theory
- Longitudinal data analysis using generalized linear models
- A Note on the Efficiency of Sandwich Covariance Matrix Estimation
- Bayes Factors Based on Test Statistics
- Model Robust Confidence Intervals Using Maximum Likelihood Estimators
- Bayesian inference with misspecified models
- Title not available (Why is that?)
Cited In (4)
- Interpreting uninterpretable predictors: kernel methods, Shtarkov solutions, and random forests
- A Dirichlet process functional approach to heteroscedastic-consistent covariance estimation
- A Bayesian ``sandwich for variance estimation
- Models as approximations. I. Consequences illustrated with linear regression
This page was built for publication: Bayesian sandwich posteriors for pseudo-true parameters
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q394764)
