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Oct, 2019
安全贝叶斯广义线性回归
Safe-Bayesian Generalized Linear Regression
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Rianne de Heide, Alisa Kirichenko, Nishant Mehta, Peter Grünwald
TL;DR
该研究探讨了广义贝叶斯推断在错配模型下的应用,包括广义线性模型,通过MCMC抽样来实现广义贝叶斯Lasso和Logistic回归,并在模拟和真实数据中展示了广义贝叶斯在表现上超过标准贝叶斯的优点。
Abstract
We study
generalized bayesian inference
under misspecification, i.e. when the model is `wrong but useful'. Generalized Bayes equips the likelihood with a learning rate $\eta$. We show that for
generalized linear models<
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