Stochastic Convergence Rates and Applications of Adaptive Quadrature in Bayesian Inference

DOI10.1080/01621459.2022.2141635arXiv2102.06801OpenAlexW4308356328MaRDI QIDQ6154024FDOQ6154024

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)

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.

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)

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