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Lookup NU author(s): Takuo Matsubara, Professor Chris Oates
This work is licensed under a Creative Commons Attribution 4.0 International License (CC BY 4.0).
© 2022 The Authors. Journal of the Royal Statistical Society: Series B (Statistical Methodology) published by John Wiley & Sons Ltd on behalf of Royal Statistical Society. Generalised Bayesian inference updates prior beliefs using a loss function, rather than a likelihood, and can therefore be used to confer robustness against possible mis-specification of the likelihood. Here we consider generalised Bayesian inference with a Stein discrepancy as a loss function, motivated by applications in which the likelihood contains an intractable normalisation constant. In this context, the Stein discrepancy circumvents evaluation of the normalisation constant and produces generalised posteriors that are either closed form or accessible using the standard Markov chain Monte Carlo. On a theoretical level, we show consistency, asymptotic normality, and bias-robustness of the generalised posterior, highlighting how these properties are impacted by the choice of Stein discrepancy. Then, we provide numerical experiments on a range of intractable distributions, including applications to kernel-based exponential family models and non-Gaussian graphical models.
Author(s): Matsubara T, Knoblauch J, Briol F-X, Oates CJ
Publication type: Article
Publication status: Published
Journal: Journal of the Royal Statistical Society. Series B: Statistical Methodology
Year: 2022
Volume: 84
Issue: 3
Pages: 997-1022
Print publication date: 01/07/2022
Online publication date: 03/04/2022
Acceptance date: 25/01/2022
Date deposited: 28/04/2022
ISSN (print): 1369-7412
ISSN (electronic): 1467-9868
Publisher: John Wiley and Sons Inc.
URL: https://doi.org/10.1111/rssb.12500
DOI: 10.1111/rssb.12500
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