George Mason University
George Mason University Mason
George Mason University

Bayesian Model Robustness via Disparities

by Anand Vidyashankar

Publication Details MORE LESS

  • Published Date: September 7, 2014
  • Volume/Issue: 23/3
  • Publisher: International Journal Spanish Society of Statistics and OR


This paper develops a methodology for robust Bayesian inference through the use of disparities. Metrics such as Hellinger distance and negative exponential disparity have a long history in robust estimation in frequentist inference. We demonstrate that an equivalent robustification may be made in Bayesian inference by substituting an appropriately scaled disparity for the log likelihood to which standard Monte Carlo Markov Chain methods may be applied. A particularly appealing property of minimum-disparity methods is that while they yield robustness with a breakdown point of 1/2, the resulting parameter estimates are also efficient when the posited probabilistic model is correct. We demonstrate that a similar property holds for disparity-based Bayesian inference. We further show that in the Bayesian setting, it is also possible to extend these methods to robustify regression models, random effects distributions and other hierarchical models. The methods are demonstrated on real world data.

Other Contributors

Giles Hooker