Local Sensitivity of Inferences to Prior Marginals
推断对先验边际分布的局部敏感性AI 解读 ↓
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推断对先验边际分布的局部敏感性AI 解读 ↓
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The sensitivity of posterior expectations to perturbations of prior marginals is investigated, using a local method. This approach is particularly well suited to high-dimensional parameter spaces. Qualitative and quantitative results are obtained regarding the propagation of sensitivity in multiparameter settings. More specifically, a posterior expectation is treated as a functional of the prior marginal. The derivative of this functional is evaluated at the nominal prior marginal, yielding a measure of sensitivity. This is computationally more feasible than evaluating the range of a posterior quantity over a class of priors; hence sensitivity can be assessed in high-dimensional problems. The local technique is used to assess the influence of distributional assumptions at the various stages of a hierarchical model.
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Regularization methods such as the Lasso combine shrinkage and variable selection, but strong penalization drives their solutions toward the null model. We introduce Fractional Ridge (Fridge) regression, a penalized regression method that instead shrinks toward models of a prespecified target size. Its penalty vanishes whenever the number of nonzero coefficients does not exceed that target. This behavior connects continuous shrinkage with best subset selection. We develop an…