Modularized Bayesian analyses and cutting feedback in likelihood-free inference

TL;DR

This paper introduces a Gaussian mixture-based method for modularized Bayesian inference with cutting feedback in likelihood-free settings, enabling efficient and flexible analysis of complex models with misspecified modules.

Contribution

It develops a novel Gaussian mixture approximation approach for cutting feedback in likelihood-free Bayesian inference, facilitating explicit and repeated posterior approximations.

Findings

Effective in complex models like cell spreading and asset returns

Allows repeated posterior approximations from a single mixture fit

Improves inference robustness by modularizing analysis

Abstract

There has been much recent interest in modifying Bayesian inference for misspecified models so that it is useful for specific purposes. One popular modified Bayesian inference method is "cutting feedback" which can be used when the model consists of a number of coupled modules, with only some of the modules being misspecified. Cutting feedback methods represent the full posterior distribution in terms of conditional and sequential components, and then modify some terms in such a representation based on the modular structure for specification or computation of a modified posterior distribution. The main goal of this is to avoid contamination of inferences for parameters of interest by misspecified modules. Computation for cut posterior distributions is challenging, and here we consider cutting feedback for likelihood-free inference based on Gaussian mixture approximations to the joint distribution of parameters and data summary statistics. We exploit the fact that marginal and conditional distributions of a Gaussian mixture are Gaussian mixtures to give explicit approximations to marginal or conditional posterior distributions so that we can easily approximate cut posterior analyses. The mixture approach allows repeated approximation of posterior distributions for different data based on a single mixture fit, which is important for model checks which aid in the decision of whether to "cut". A semi-modular approach to likelihood-free inference where feedback is partially cut is also developed. The benefits of the method are illustrated in two challenging examples, a collective cell spreading model and a continuous time model for asset returns with jumps.