Weakly informative priors and prior-data conflict checking for likelihood-free inference
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Publication:6073469
DOI10.4310/22-SII733arXiv2202.09993OpenAlexW4365800899MaRDI QIDQ6073469FDOQ6073469
Authors: Atlanta Chakraborty, David J. Nott, Michael Evans 
Publication date: 16 September 2023
Published in: Statistics and Its Interface (Search for Journal in Brave)
Abstract: Bayesian likelihood-free inference, which is used to perform Bayesian inference when the likelihood is intractable, enjoys an increasing number of important scientific applications. However, many aspects of a Bayesian analysis become more challenging in the likelihood-free setting. One example of this is prior-data conflict checking, where the goal is to assess whether the information in the data and the prior are inconsistent. Conflicts of this kind are important to detect, since they may reveal problems in an investigator's understanding of what are relevant values of the parameters, and can result in sensitivity of Bayesian inferences to the prior. Here we consider methods for prior-data conflict checking which are applicable regardless of whether the likelihood is tractable or not. In constructing our checks, we consider checking statistics based on prior-to-posterior Kullback-Leibler divergences. The checks are implemented using mixture approximations to the posterior distribution and closed-form approximations to Kullback-Leibler divergences for mixtures, which make Monte Carlo approximation of reference distributions for calibration computationally feasible. When prior-data conflicts occur, it is useful to consider weakly informative prior specifications in alternative analyses as part of a sensitivity analysis. As a main application of our methodology, we develop a technique for searching for weakly informative priors in likelihood-free inference, where the notion of a weakly informative prior is formalized using prior-data conflict checks. The methods are demonstrated in three examples.
Full work available at URL: https://arxiv.org/abs/2202.09993
Statistics (62-XX) Bayesian inference (62F15) Monte Carlo methods (65C05) Bayesian problems; characterization of Bayes procedures (62C10)
Cited In (4)
- Modularized Bayesian analyses and cutting feedback in likelihood-free inference
- Weak informativity and the information in one prior relative to another
- Inference after checking multiple Bayesian models for data conflict and applications to mitigating the influence of rejected priors
- Detecting conflicting summary statistics in likelihood-free inference
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