A comparison of learning rate selection methods in generalized Bayesian inference

DOI10.1214/21-BA1302OpenAlexW3114174487MaRDI QIDQ6122017FDOQ6122017

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Publication date: 27 February 2024

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

Abstract: Generalized Bayes posterior distributions are formed by putting a fractional power on the likelihood before combining with the prior via Bayes's formula. This fractional power, which is often viewed as a remedy for potential model misspecification bias, is called the learning rate, and a number of data-driven learning rate selection methods have been proposed in the recent literature. Each of these proposals has a different focus, a different target they aim to achieve, which makes them difficult to compare. In this paper, we provide a direct head-to-head comparison of these learning rate selection methods in various misspecified model scenarios, in terms of several relevant metrics, in particular, coverage probability of the generalized Bayes credible regions. In some examples all the methods perform well, while in others the misspecification is too severe to be overcome, but we find that the so-called generalized posterior calibration algorithm tends to outperform the others in terms of credible region coverage probability.

Full work available at URL: https://arxiv.org/abs/2012.11349

zbMATH Keywords

model misspecificationcoverage probabilitygeneralized posterior calibration algorithmSafeBayes algorithm

Mathematics Subject Classification ID

Statistics (62-XX) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

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