General Bayesian Updating and the Loss-Likelihood Bootstrap

2017/09/22 by Simon Lyddon, Chris Holmes, Lyddon, Simon +3 · 6 citations
Computer Science · Mathematics · #Bayesian Methods and Mixture Models #FOS: Computer and information sciences #Machine Learning (stat.ML) #Methodology (stat.ME) #Statistical Methods and Bayesian Inference #Statistical Methods and Inference

paper · pdf · doi:10.48550/arxiv.1709.07616

openalex publication_date 2017/09/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we revisit the weighted likelihood bootstrap, a method that generates samples from an approximate Bayesian posterior of a parametric model. We show that the same method can be derived, without approximation, under a Bayesian nonparametric model with the parameter of interest defined as minimising an expected negative log-likelihood under an unknown sampling distribution. This interpretation enables us to extend the weighted likelihood bootstrap to posterior sampling for parameters minimizing an expected loss. We call this method the loss-likelihood bootstrap. We make a connection between this and general Bayesian updating, which is a way of updating prior belief distributions without needing to construct a global probability model, yet requires the calibration of two forms of loss function. The loss-likelihood bootstrap is used to calibrate the general Bayesian posterior by matching asymptotic Fisher information. We demonstrate the methodology on a number of examples.

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