Concentration and Calibration in Predictive Bayesian Inference
预测贝叶斯推断中的集中性与校准
David T. Frazier, Hui Wang
AI总结 本文探讨了预测贝叶斯推断中后验分布的集中性和校准问题,指出预测模型的准确性直接影响推断结果的可靠性,强调预测模型必须准确捕捉数据生成过程以确保校准。
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预测贝叶斯推断(PBI)是一种模型和先验无关的贝叶斯推断方法,允许用户仅通过指定一个用于未来未观测数据的正向预测模型来量化功能的不确定性。该框架的灵活性和通用性催生了许多新的算法和应用,但其对底层统计功能的推断可靠性仍不明确。本文证明,当使用PBI处理总体功能时,后验分布会集中在依赖于所用正向预测模型的明确量上。此外,正向预测模型完全决定了PBI中产生的不确定性量化。因此,我们的结果表明,如果预测模型未能捕捉所有相关数据特征,即使在简单例子中,预测贝叶斯可信区间对目标功能总体值的覆盖率可以任意接近零。我们详细解释了这一现象发生的原因,并展示这种行为直接与PBI框架中用于生成未来观测的预测模型的不准确性相关。因此,我们的结果表明,为了使PBI交付校准的后验推断,所用的预测引擎必须在某种明确意义上包含真实的DGP,否则在此框架下生成的推断将不校准。
Predictive Bayesian inference (PBI) represents a model-and prior-agnostic approach to standard Bayesian inference which allows users to quantify uncertainty for a functional of interest only by specifying a forward predictive model for future unobserved data. The flexibility and generality of this framework have led to a host of novel algorithms for implementing this approach, and many empirical applications, yet the reliability of the resulting inferences for the underlying statistical functional of interest remains unclear. Herein, we demonstrate that when using PBI for a population functional of interest, the resulting posterior concentrates onto a well-defined quantity that explicitly depends on the forward predictive model used to implement the predictive recursion underlying the method. Furthermore, the forward predictive model entirely determines the uncertainty quantification produced in PBI. Consequently, our results show that if the predictive model does not capture all relevant features of the data, and, even in very simple examples, the coverage of predictive Bayes credible sets for the population value of the functional of interest can be arbitrarily close to zero. We carefully explain why this occurs, and show that this behavior is directly tied to the inaccuracy of the forward predictive model used to produce future observations within the PBI framework. As a consequence, our results imply that in order for PBI to deliver calibrated posterior inferences, the resulting predictive engine used to generate posterior samples must contain, in a well-defined sense, the true DGP, else inferences generated under this framework will not be calibrated.