The Annals of Statistics

Local sensitivity diagnostics for Bayesian inference

Abstract

We investigate diagnostics for quantifying the effect of small changes to the prior distribution over a k-dimensional parameter space. We show that several previously suggested diagnostics, such as the norm of the Fréchet derivative, diverge at rate $n^{k/2}$ if the base prior is an interior point in the class of priors, under the density ratio topology. Diagnostics based on $\phi$-divergences exhibit similar asymptotic behavior. We show that better asymptotic behavior can be obtained by suitably restricting the classes of priors. We also extend the diagnostics to see how various marginals of the prior affect various marginals of the posterior.

Article information

Source
Ann. Statist., Volume 23, Number 6 (1995), 2153-2167.

Dates
First available in Project Euclid: 15 October 2002

https://projecteuclid.org/euclid.aos/1034713652

Digital Object Identifier
doi:10.1214/aos/1034713652

Mathematical Reviews number (MathSciNet)
MR1389870

Zentralblatt MATH identifier
0854.62024

Subjects
Primary: 62F15: Bayesian inference
Secondary: 62F35: Robustness and adaptive procedures

Citation

Gustafson, Paul; Wasserman, Larry. Local sensitivity diagnostics for Bayesian inference. Ann. Statist. 23 (1995), no. 6, 2153--2167. doi:10.1214/aos/1034713652. https://projecteuclid.org/euclid.aos/1034713652

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