Tuesday, July 16, 2013

1307.3889 (Sebastian Dorn et al.)

DIP -- Diagnostics for Insufficiencies of Posterior calculations in Bayesian signal inference    [PDF]

Sebastian Dorn, Niels Oppermann, Torsten A. Enß lin
We present an error-diagnostic validation method for posterior distributions in Bayesian signal inference. It transfers deviations from the correct posterior into characteristic deviations from a uniform distribution of a quantity constructed for this purpose. We show that this method is able to reveal and discriminate several kinds of numerical and approximation errors. For this we present a number of analytical examples of posteriors with incorrect variance, skewness, position of the maximum, or normalization. We show further how this test can be applied to multidimensional signals.
View original: http://arxiv.org/abs/1307.3889

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