Bayesian model robustness via disparities

Giles Hooker () and Anand Vidyashankar ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2014, vol. 23, issue 3, 556-584

Abstract: This paper develops a methodology for robust Bayesian inference through the use of disparities. Metrics such as Hellinger distance and negative exponential disparity have a long history in robust estimation in frequentist inference. We demonstrate that an equivalent robustification may be made in Bayesian inference by substituting an appropriately scaled disparity for the log likelihood to which standard Monte Carlo Markov Chain methods may be applied. A particularly appealing property of minimum-disparity methods is that while they yield robustness with a breakdown point of 1/2, the resulting parameter estimates are also efficient when the posited probabilistic model is correct. We demonstrate that a similar property holds for disparity-based Bayesian inference. We further show that in the Bayesian setting, it is also possible to extend these methods to robustify regression models, random effects distributions and other hierarchical models. These models require integrating out a random effect; this is achieved via MCMC but would otherwise be numerically challenging. The methods are demonstrated on real-world data. Copyright Sociedad de Estadística e Investigación Operativa 2014

Keywords: Deviance test; Kernel density; Hellinger distance; Negative exponential disparity; MCMC; Bayesian inference; Posterior; Outliers; 62F35 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s11749-014-0360-z

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