HKU HKU Dept of Statistics & Actuarial Science, HKU

Seminar by Dr. Andrew YIU from Department of Statistics, University of Oxford

DateWednesday, 29 November 2023
Time2:30 p.m. – 3:30 p.m.
VenueRR301, Run Run Shaw Building
TitleSemiparametric posterior corrections

We present a new approach to semiparametric inference using corrected posterior distributions. The method allows us to leverage the adaptivity, regularization and predictive power of nonparametric Bayesian procedures to estimate low-dimensional functionals of interest without being restricted by the holistic Bayesian formalism. Starting from a conventional nonparametric posterior, we target the functional of interest by transforming the entire distribution with a Bayesian bootstrap correction. We provide conditions for the resulting one-step posterior to possess calibrated frequentist properties and specialize the results for several canonical examples: the integrated squared density, the mean of a missing-at-random outcome, and the average causal treatment effect on the treated. The procedure is computationally attractive, requiring only a simple, efficient post-processing step that can be attached onto any arbitrary posterior sampling algorithm. Using the ACIC 2016 causal data analysis competition, we illustrate that our approach can outperform the existing state-of-the-art through the propagation of Bayesian uncertainty.

About the speaker

Dr. Andrew Yiu is a Postdoctoral Research Fellow at the Department of Statistics, University of Oxford. Prior to this, he completed a PhD at the MRC Biostatistics Unit, University of Cambridge. His research interests include Bayesian semiparametric inference, predictive inference and causal inference.