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Validating Bayesian Inference Algorithms with Simulation-Based Calibration [pdf] (columbia.edu)
44 points by luu 33 days ago | hide | past | favorite | 1 comment



Makes sense - it seems like this basically takes an idea that’s already applied frequently (fit a set of replicate models to prior predictive simulations) and adds a simple to apply comparison metric (data averaged posterior distribution to prior distribution). Usually I’ve just tried to quantify the performance of models fit to prior sims using ad-hoc measures, like posterior interval coverage, bias, and mse. This approach seems like a more Bayesian way to evaluate Bayesian inference.




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