Stability of doubly-intractable distributions

Autor:	Habeck, Michael, Rudolf, Daniel, Sprungk, Björn
Rok vydání:	2020
Předmět:	Mathematics - Statistics Theory Mathematics - Numerical Analysis Mathematics - Probability 60B10 62C10 65C05
Druh dokumentu:	Working Paper
Popis:	Doubly-intractable distributions appear naturally as posterior distributions in Bayesian inference frameworks whenever the likelihood contains a normalizing function $Z$. Having two such functions $Z$ and $\widetilde Z$ we provide estimates of the total variation and Wasserstein distance of the resulting posterior probability measures. As a consequence this leads to local Lipschitz continuity w.r.t. $Z$. In the more general framework of a random function $\widetilde Z$ we derive bounds on the expected total variation and expected Wasserstein distance. The applicability of the estimates is illustrated within the setting of two representative Monte Carlo recovery scenarios. Comment: 16 pages, to appear in Electronic Communications in Probability
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2004.07310 Zobrazit plný text záznamu View this record from Arxiv