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Sampling Bayesian probabilities given only sampled priors
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Paper
Sampling Bayesian probabilities given only sampled priors
2025
Overview
A typical Bayesian inference on the values of some parameters of interest \\(q\\) from some data \\(D\\) involves running a Markov Chain (MC) to sample from the posterior \\(p(q,n | D) L(D | q,n) p(q) p(n),\\) where \\(n\\) are some nuisance parameters. In many cases, the nuisance parameters are high-dimensional, and their prior \\(p(n)\\) is itself defined only by a set of samples that have been drawn from some other MC. Two problems arise: first, the MC for the posterior will typically require evaluation of \\(p(n)\\) at arbitrary values of \\(n,\\) ıe\\ one needs to provide a density estimator over the full \\(n\\) space from the provided samples. Second, the high dimensionality of \\(n\\) hinders both the density estimation and the efficiency of the MC for the posterior. We describe a solution to this problem: a linear compression of the \\(n\\) space into a much lower-dimensional space \\(u\\) which projects away directions in \\(n\\) space that cannot appreciably alter \\(L.\\) The algorithm for doing so is a slight modification to principal components analysis, and is less restrictive on \\(p(n)\\) than other proposed solutions to this issue. We demonstrate this ``mode projection'' technique using the analysis of 2-point correlation functions of weak lensing fields and galaxy density in the Dark Energy Survey, where \\(n\\) is a binned representation of the redshift distribution \\(n(z)\\) of the galaxies.
Publisher
Cornell University Library, arXiv.org
