TY - UNPB

T1 - Assessing the validity of Bayesian inference using loss functions

AU - Luo, Yu

AU - Stephens, David A.

AU - Graham, Daniel J.

AU - McCoy, Emma J.

PY - 2023/2

Y1 - 2023/2

N2 - In the usual Bayesian setting, a full probabilistic model is required to link the data and parameters, and the form of this model and the inference and prediction mechanisms are specified via de Finetti's representation. In general, such a formulation is not robust to model mis-specification of its component parts. An alternative approach is to draw inference based on loss functions, where the quantity of interest is defined as a minimizer of some expected loss, and to construct posterior distributions based on the loss-based formulation; this strategy underpins the construction of the Gibbs posterior. We develop a Bayesian non-parametric approach; specifically, we generalize the Bayesian bootstrap, and specify a Dirichlet process model for the distribution of the observables. We implement this using direct prior-to-posterior calculations, but also using predictive sampling. We also study the assessment of posterior validity for non-standard Bayesian calculations, and provide an efficient way to calibrate the scaling parameter in the Gibbs posterior so that it can achieve the desired coverage rate. We show that the developed non-standard Bayesian updating procedures yield valid posterior distributions in terms of consistency and asymptotic normality under model mis-specification. Simulation studies show that the proposed methods can recover the true value of the parameter efficiently and achieve frequentist coverage even when the sample size is small. Finally, we apply our methods to evaluate the causal impact of speed cameras on traffic collisions in England.

AB - In the usual Bayesian setting, a full probabilistic model is required to link the data and parameters, and the form of this model and the inference and prediction mechanisms are specified via de Finetti's representation. In general, such a formulation is not robust to model mis-specification of its component parts. An alternative approach is to draw inference based on loss functions, where the quantity of interest is defined as a minimizer of some expected loss, and to construct posterior distributions based on the loss-based formulation; this strategy underpins the construction of the Gibbs posterior. We develop a Bayesian non-parametric approach; specifically, we generalize the Bayesian bootstrap, and specify a Dirichlet process model for the distribution of the observables. We implement this using direct prior-to-posterior calculations, but also using predictive sampling. We also study the assessment of posterior validity for non-standard Bayesian calculations, and provide an efficient way to calibrate the scaling parameter in the Gibbs posterior so that it can achieve the desired coverage rate. We show that the developed non-standard Bayesian updating procedures yield valid posterior distributions in terms of consistency and asymptotic normality under model mis-specification. Simulation studies show that the proposed methods can recover the true value of the parameter efficiently and achieve frequentist coverage even when the sample size is small. Finally, we apply our methods to evaluate the causal impact of speed cameras on traffic collisions in England.

KW - stat.ME

M3 - Preprint

BT - Assessing the validity of Bayesian inference using loss functions

ER -