论文标题
基于仿真的校准检查贝叶斯计算:测试数量的选择形状敏感性
Simulation-Based Calibration Checking for Bayesian Computation: The Choice of Test Quantities Shapes Sensitivity
论文作者
论文摘要
基于仿真的校准检查(SBC)是一种验证计算衍生的后验分布或其近似值的实用方法。在本文中,我们介绍了一种新的SBC变体,以减轻几个已知问题。我们的变体允许用户原则上检测到后验的任何可能问题,而先前报道的实现将无法检测到大量的问题,包括何时后验等于先验。运行SBC时包括其他数据依赖性测试数量,可以实现这一目标。我们认为数据的关节可能性是一个特别有用的测试量。还研究了其他一些类型的测试量及其理论和实际好处。我们提供了SBC的理论分析,从而对基本统计机制提供了更完整的理解。我们还引起了文献中相对常见的错误的关注,并根据数据平均后部阐明了SBC和检查之间的差异。我们通过有关多元正常示例的数值案例研究和实施有序的单纯形数据类型的案例研究来支持我们的建议,以与汉密尔顿蒙特卡洛一起使用。本文介绍的SBC变体在$ \ Mathtt {SBC} $ R软件包中实现。
Simulation-based calibration checking (SBC) is a practical method to validate computationally-derived posterior distributions or their approximations. In this paper, we introduce a new variant of SBC to alleviate several known problems. Our variant allows the user to in principle detect any possible issue with the posterior, while previously reported implementations could never detect large classes of problems including when the posterior is equal to the prior. This is made possible by including additional data-dependent test quantities when running SBC. We argue and demonstrate that the joint likelihood of the data is an especially useful test quantity. Some other types of test quantities and their theoretical and practical benefits are also investigated. We provide theoretical analysis of SBC, thereby providing a more complete understanding of the underlying statistical mechanisms. We also bring attention to a relatively common mistake in the literature and clarify the difference between SBC and checks based on the data-averaged posterior. We support our recommendations with numerical case studies on a multivariate normal example and a case study in implementing an ordered simplex data type for use with Hamiltonian Monte Carlo. The SBC variant introduced in this paper is implemented in the $\mathtt{SBC}$ R package.