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arXiv · 1605.07604

Posterior Dispersion Indices

Alp Kucukelbir·David M. Blei
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Abstract

Probabilistic modeling is cyclical: we specify a model, infer its posterior, and evaluate its performance. Evaluation drives the cycle, as we revise our model based on how it performs. This requires a metric. Traditionally, predictive accuracy prevails. Yet, predictive accuracy does not tell the whole story. We propose to evaluate a model through posterior dispersion. The idea is to analyze how each datapoint fares in relation to posterior uncertainty around the hidden structure. We propose a family of posterior dispersion indices (PDI) that capture this idea. A PDI identifies rich patterns of model mismatch in three real data examples: voting preferences, supermarket shopping, and population genetics.

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Alp Kucukelbir, David M. Blei. 2016-05-24. Posterior Dispersion Indices. https://arxiv.org/abs/1605.07604

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