Posterior Cumulant Relationships in Bayesian Inference Involving the Exponential Family
涉及指数族的贝叶斯推断中后验累积量的关系AI 解读 ↓
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涉及指数族的贝叶斯推断中后验累积量的关系AI 解读 ↓
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For Bayesian inference in one-parameter contexts where either the likelihood or the prior has an exponential family form, relationships are derived for posterior moments and cumulants of (functions of) both the canonical and the expectation parameters. The identities exhibited generalize the simple relationships well known in the conjugate analysis case. Applications of these results are indicated in the areas of Bayesian robustness and approximation. In particular, results are obtained on the behavior of the posterior distribution for a large observation, generalizing work of Meeden and Isaacson.
内生性检验:一种基于矩的贝叶斯方法
A standard assumption in the Bayesian estimation of linear regression models is that the regressors are exogenous in the sense that they are uncorrelated with the model error term. In practice, however, this assumption can be invalid. In this article, using the exponentially tilted empirical likelihood (ETEL) framework, we develop a Bayes factor test for endogeneity that compares a base model that is correctly specified under exogeneity but misspecified under endogeneity…
凸正则化的谱依赖:右旋转不变设计下的基本极限
We study the fundamental limits of convex-regularized estimation in high-dimensional linear regression with right-rotationally invariant design matrices. We show that the asymptotic risks of convex-penalized least squares estimators are lower bounded by the risk of an approximate message passing algorithm known as Bayes VAMP, and we further characterize when the lower bound is attainable. As a technical ingredient in the proof of our lower bound theorem, we characterize the…
自适应实验中策略改进价值的推断
In this paper, we develop an asymptotically normal estimator for the value of policy improvement (VPI) under adaptively collected data. This value, which is defined as the gap between the value of the best treatment policy in a class and that of a baseline policy, gauges whether or not it is worth deploying a personalized treatment policy. Building an estimator for the VPI is naturally more difficult than estimating the value of a fixed policy. This is because, in addition…
带自回归误差的线性回归在线变点检测:流式变分贝叶斯方法
Large-scale streaming time-series regression requires methods that can detect structural changes while accounting for serially correlated errors and quantifying uncertainty about the current regime. We propose a streaming variational Bayes method for linear regression with autoregressive errors that combines online changepoint detection with sequential posterior inference. The proposed method processes observations in chronological mini-batches and uses a finite-mixture…
基于相容性的贝叶斯推断:渐近极限、变分原理与 Wasserstein 几何
Approximate Bayesian Computation (ABC) replaces intractable likelihood evaluations with comparisons between observed and simulated data. We develop a measure-theoretic formulation of discrepancy-based Bayesian inference in which compatibility is encoded through nonnegative weights. For vanishing thresholds, we establish convergence of the corresponding posterior distributions in total variation. In the large-sample regime, we identify conditions under which the posterior…
潜在类别对处理效应的调节
Many treatments have effects that plausibly vary by latent classes. For example, the effect of personalized video recommendations may be stronger for users who seek a new discovery than for users seeking to rewatch something familiar. In the context of user journeys on digital platforms, we can conceptualize user moods as dynamic latent states that lead to distinct action distributions. Because mood is unobserved, we infer it from a user's pre-treatment actions using a…