Bagged Martingale Posteriors: Calibrated Uncertainty Quantification for Predictive Resampling
自助集成鞅后验:预测重采样的不确定性校准
Martingale posteriors and related predictive resampling methods replace the likelihood--prior pair used within Bayesian inference with a predictive model for future observations. These methods are simple to implement and increasingly popular due to their computational efficiency, but little is known about their ability to accurately quantify uncertainty. In this work, we study the concentration and calibration properties of the martingale posterior for general functionals,…