Principles of Bayesian Inference Using General Divergence Criteria.

ABSTRACT: When it is acknowledged that all candidate parameterised statistical models are misspecified relative to the data generating process, the decision maker (DM) must currently concern themselves with inference for the parameter value minimising the Kullback-Leibler (KL)-divergence between the model and this process (Walker, 2013). However, it has long been known that minimising the KL-divergence places a large weight on correctly capturing the tails of the sample distribution. As a result, the DM is required to worry about the robustness of their model to tail misspecifications if they want to conduct principled inference. In this paper we alleviate these concerns for the DM. We advance recent methodological developments in general Bayesian updating (Bissiri, Holmes & Walker, 2016) to propose

SUBMITTER: Jewson J 

PROVIDER: S-EPMC7512964 | biostudies-literature | 2018 Jun

REPOSITORIES: biostudies-literature