On the Robustness to Misspecification of $\alpha$-Posteriors and Their Variational Approximations

• URL: http://arxiv.org/abs/2104.08324v1
• Date: Fri, 16 Apr 2021 19:11:53 GMT
• Title: On the Robustness to Misspecification of $\alpha$-Posteriors and Their Variational Approximations
• Authors: Marco Avella Medina and Jos\'e Luis Montiel Olea and Cynthia Rush and Amilcar Velez
• Abstract summary: $alpha$-posteriors and their variational approximations distort standard posterior inference by downweighting the likelihood and introducing variational approximation errors. We show that such distortions, if tuned appropriately, reduce the Kullback-Leibler (KL) divergence from the true, but perhaps infeasible, posterior distribution when there is potential parametric model misspecification.
• Score: 12.52149409594807
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: $\alpha$-posteriors and their variational approximations distort standard posterior inference by downweighting the likelihood and introducing variational approximation errors. We show that such distortions, if tuned appropriately, reduce the Kullback-Leibler (KL) divergence from the true, but perhaps infeasible, posterior distribution when there is potential parametric model misspecification. To make this point, we derive a Bernstein-von Mises theorem showing convergence in total variation distance of $\alpha$-posteriors and their variational approximations to limiting Gaussian distributions. We use these distributions to evaluate the KL divergence between true and reported posteriors. We show this divergence is minimized by choosing $\alpha$ strictly smaller than one, assuming there is a vanishingly small probability of model misspecification. The optimized value becomes smaller as the the misspecification becomes more severe. The optimized KL divergence increases logarithmically in the degree of misspecification and not linearly as with the usual posterior.

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