Bayesian sandwich posteriors for pseudo-true parameters

DOI10.1016/J.JSPI.2013.05.014MaRDI QIDQ394764zbMATH OpenOpenAlexFDO

Authors Jon Wakefield, Peter D. Hoff

Publication date 27 January 2014

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.0087

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12)

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.

Cites work

• scientific article; zbMATH DE number 3202018 (Why is no real title available?)
• A Note on the Efficiency of Sandwich Covariance Matrix Estimation
• Bayes Factors Based on Test Statistics
• Bayesian inference with misspecified models
• Extending the rank likelihood for semiparametric copula estimation
• Longitudinal data analysis using generalized linear models
• Maximum Likelihood Estimation of Misspecified Models
• Model Robust Confidence Intervals Using Maximum Likelihood Estimators
• Pseudo Maximum Likelihood Methods: Theory

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)