Robust Bayesian Inference for Discrete Outcomes with the Total Variation
Distance
- URL: http://arxiv.org/abs/2010.13456v1
- Date: Mon, 26 Oct 2020 09:53:06 GMT
- Title: Robust Bayesian Inference for Discrete Outcomes with the Total Variation
Distance
- Authors: Jeremias Knoblauch, Lara Vomfell
- Abstract summary: Models of discrete-valued outcomes are easily misspecified if the data exhibit zero-inflation, overdispersion or contamination.
Here, we introduce a robust discrepancy-based Bayesian approach using the Total Variation Distance (TVD)
We empirically demonstrate that our approach is robust and significantly improves predictive performance on a range of simulated and real world data.
- Score: 5.139874302398955
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: Models of discrete-valued outcomes are easily misspecified if the data
exhibit zero-inflation, overdispersion or contamination. Without additional
knowledge about the existence and nature of this misspecification, model
inference and prediction are adversely affected. Here, we introduce a robust
discrepancy-based Bayesian approach using the Total Variation Distance (TVD).
In the process, we address and resolve two challenges: First, we study
convergence and robustness properties of a computationally efficient estimator
for the TVD between a parametric model and the data-generating mechanism.
Second, we provide an efficient inference method adapted from Lyddon et al.
(2019) which corresponds to formulating an uninformative nonparametric prior
directly over the data-generating mechanism. Lastly, we empirically demonstrate
that our approach is robust and significantly improves predictive performance
on a range of simulated and real world data.
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