论文标题
使用拆分预测检查校准模型批评
Calibrated Model Criticism Using Split Predictive Checks
论文作者
论文摘要
检查拟合模型解释数据的程度是贝叶斯数据分析中最基本的部分之一。但是,现有的模型检查方法遭受了良好校准,自动化和计算效率之间的权衡。为了克服这些局限性,我们提出了拆分预测检查(SPC),该检查将后验预测检查的易用性和速度与依赖于模型特异性推导或推理方案的预测性检查的良好校准属性相结合。我们为两种类型的SPC开发了一种渐近理论:单个SPC和分裂的SPC。我们的结果表明他们提供了互补的优势。单个SPC与较小的数据集配合使用,并在大量错误指定时提供了出色的功率,例如,当测试统计量的估计不确定性被大大低估时。当样本量较大时,划分的SPC可以提供更好的功率,并能够检测出更微妙的指定形式。我们通过在指数家族和分层模型中进行广泛的模拟实验来验证SPC的有限样本实用性,并提供了三个实际数据示例,其中SPC提供了新颖的见解和额外的灵活性,超出了使用后验预测检查时可用的东西。
Checking how well a fitted model explains the data is one of the most fundamental parts of a Bayesian data analysis. However, existing model checking methods suffer from trade-offs between being well-calibrated, automated, and computationally efficient. To overcome these limitations, we propose split predictive checks (SPCs), which combine the ease-of-use and speed of posterior predictive checks with the good calibration properties of predictive checks that rely on model-specific derivations or inference schemes. We develop an asymptotic theory for two types of SPCs: single SPCs and the divided SPCs. Our results demonstrate that they offer complementary strengths. Single SPCs work well with smaller datasets and provide excellent power when there is substantial misspecification, such as when the estimate uncertainty in the test statistic is significantly underestimated. When the sample size is large, divided SPCs can provide better power and are able to detect more subtle form of misspecification. We validate the finite-sample utility of SPCs through extensive simulation experiments in exponential family and hierarchical models, and provide three real-data examples where SPCs offer novel insights and additional flexibility beyond what is available when using posterior predictive checks.