Weighted Bayesian bootstrap for scalable posterior distributions
Michael A. Newton, Nicholas G. Polson, Jianeng Xu · Canadian Journal of Statistics · 2020
Abstract We introduce and develop a weighted Bayesian bootstrap (WBB) for machine learning and statistics. WBB provides uncertainty quantification by sampling from a high dimensional posterior distribution. WBB is computationally fast and scalable using only off‐the‐shelf optimization software. First‐order asymptotic analysis provides a theoretical justification under suitable regularity conditions on the statistical model. We illustrate the proposed methodology in regularized regression, trend filtering and deep learning and conclude with directions for future research.