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arXiv 2204.09862stat.ME
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用半参数贝叶斯推断确定函数参数

Targeting functional parameters with semiparametric Bayesian inference

Vivian Y. Meng, David A. Stephens

摘要:

典型的贝叶斯推断需要通过似然参数化进行参数识别,这招致了批评,因为它比频率论框架灵活性差,并且容易出现错误。虽然在非参数模型空间下可以通过函数参数推断来避免误指定,但是不存在允许完全控制任何一般函数参数的边缘先验的灵活的贝叶斯半参数模型。我们提出了$θ$ -增强技术,它可以帮助我们将非参数模型操作成直接针对任何功能参数的半参数模型。该方法允许贝叶斯概率报表被定义为一个功能的经验分布的任何估计,而不需要一个似然函数,从而提供了一个路径贝叶斯分析的问题,如因果推断和审查,其中不存在公认的似然函数。

英文摘要:

Typical Bayesian inference requires parameter identification via likelihood parameterization, which has invited criticism for being less flexible than the Frequentist framework and subject to misspecification. Though misspecification may be avoided by functional parameter inference under a nonparametric model space, there does not exist a flexible Bayesian semiparametric model that would allow full control over the marginal prior over any general functional parameter. We present the technique of $θ$-augmentation which helps us manipulate nonparametric models into semiparametric ones that directly target any functional parameter. The method allows Bayesian probabilistic statements to be drawn for any estimator that is defined as a functional of the empirical distribution without requiring a likelihood function, thus providing a path to Bayesian analysis in problems like causal inference and censoring where there do not exist well-accepted likelihood functions.

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