Stochastic Convergence Rates and Applications of Adaptive Quadrature in Bayesian Inference

DOI10.1080/01621459.2022.2141635MaRDI QIDQ6154024zbMATH OpenOpenAlexFDO

Authors Blair L. Bilodeau, Alex Stringer, Yanbo Tang

Publication date 19 March 2024

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2102.06801

zbMATH Keywords

spatialBayesianadaptive quadratureasymptotic convergencehigher-orderapproximate inference

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: We provide the first stochastic convergence rates for a family of adaptive quadrature rules used to normalize the posterior distribution in Bayesian models. Our results apply to the uniform relative error in the approximate posterior density, the coverage probabilities of approximate credible sets, and approximate moments and quantiles, therefore guaranteeing fast asymptotic convergence of approximate summary statistics used in practice. The family of quadrature rules includes adaptive Gauss-Hermite quadrature, and we apply this rule in two challenging low-dimensional examples. Further, we demonstrate how adaptive quadrature can be used as a crucial component of a modern approximate Bayesian inference procedure for high-dimensional additive models. The method is implemented and made publicly available in the aghq package for the R language, available on CRAN.

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Cited in

(1)

• Marginal additive models for population‐averaged inference in longitudinal and cluster‐correlated data

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