A0202
Title: Reliable Bayesian inference in misspecified models
Authors: David Frazier - Monash University (Australia) [presenting]
Abstract: A general solution to a fundamental open problem in Bayesian inference is provided, namely poor uncertainty quantification, from a frequency standpoint, of Bayesian methods in misspecified models. While existing solutions are based on explicit Gaussian approximations of the posterior, or computationally onerous post-processing procedures, we demonstrate that correct uncertainty quantification can be achieved by replacing the usual posterior with an intuitive approximate posterior. Critically, our solution is applicable to likelihood-based, and generalised, posteriors as well as cases where the likelihood is intractable and must be estimated. We formally demonstrate the reliable uncertainty quantification of our proposed approach, and show that valid uncertainty quantification is not an asymptotic result and occurs even in small samples. We illustrate this approach through a range of examples, including linear, and generalised, mixed effects models.
