Warren R. Morningstar

PACm-Bayes: Narrowing the Empirical Risk Gap in the Misspecified Bayesian Regime

The Bayesian posterior minimizes the "inferential risk" which itself bounds the "predictive risk." This bound is tight when the likelihood and prior are well-specified. How-ever since misspecification induces a gap,the Bayesian posterior predictive distribution may have poor generalization performan…