Learning Bayesian Statistics #135 Bayesian Calibration and Model Checking, with Teemu Säilynoja
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Takeaways:
- Teemu focuses on calibration assessments and predictive checking in Bayesian workflows.
- Simulation-based calibration (SBC) checks model implementation
- SBC involves drawing realizations from prior and generating prior predictive data.
- Visual predictive checking is crucial for assessing model predictions.
- Prior predictive checks should be done before looking at data.
- Posterior SBC focuses on the area of parameter space most relevant to the data.
- Challenges in SBC include inference time.
- Visualizations complement numerical metrics in Bayesian modeling.
- Amortized Bayesian inference benefits from SBC for quick posterior checks. The calibration of Bayesian models is more intuitive than Frequentist models.
- Choosing the right visualization depends on data characteristics.
- Using multiple visualization methods can reveal different insights.
- Visualizations should be viewed as models of the data.
- Goodness of fit tests can enhance visualization accuracy.
- Uncertainty visualization is crucial but often overlooked.
Chapters:
09:53 Understanding Simulation-Based Calibration (SBC)
15:03 Practical Applications of SBC in Bayesian Modeling
22:19 Challenges in Developing Posterior SBC
29:41 The Role of SBC in Amortized Bayesian Inference
33:47 The Importance of Visual Predictive Checking
36:50 Predictive Checking and Model Fitting
38:08 The Importance of Visual Checks
40:54 Choosing Visualization Types
49:06 Visualizations as Models
55:02 Uncertainty Visualization in Bayesian Modeling
01:00:05 Future Trends in Probabilistic Modeling
Thank you to my Patrons for making this episode possible!
Yusuke Saito, Avi Bryant, Ero Carrera, Giuliano Cruz, Tim Gasser, James Wade, Tradd Salvo, William Benton, James Ahloy, Robin Taylor,, Chad Scherrer, Zwelithini Tunyiswa, Bertrand Wilden, James Thompson, Stephen Oates, Gian Luca Di Tanna, Jack Wells, Matthew Maldonado, Ian Costley, Ally Salim, Larry Gill, Ian Moran, Paul Oreto, Colin Caprani, Colin Carroll, Nathaniel Burbank, Michael Osthege, Rémi Louf, Clive Edelsten, Henri Wallen, Hugo Botha, Vinh Nguyen, Marcin Elantkowski, Adam C. Smith, Will Kurt, Andrew Moskowitz, Hector Munoz, Marco Gorelli, Simon Kessell, Bradley Rode, Patrick Kelley, Rick Anderson, Casper de Bruin, Philippe Labonde, Michael Hankin, Cameron Smith, Tomáš Frýda, Ryan Wesslen, Andreas Netti, Riley King, Yoshiyuki Hamajima, Sven De Maeyer, Michael DeCrescenzo, Fergal M, Mason Yahr, Naoya Kanai, Steven Rowland, Aubrey Clayton, Jeannine Sue, Omri Har Shemesh, Scott Anthony Robson, Robert Yolken, Or Duek, Pavel Dusek, Paul Cox, Andreas Kröpelin, Raphaël R, Nicolas Rode, Gabriel Stechschulte, Arkady, Kurt TeKolste, Gergely Juhasz, Marcus Nölke, Maggi Mackintosh, Grant Pezzolesi, Avram Aelony, Joshua Meehl, Javier Sabio, Kristian Higgins, Alex Jones, Gregorio Aguilar, Matt Rosinski, Bart Trudeau, Luis Fonseca, Dante Gates, Matt Niccolls, Maksim Kuznecov, Michael Thomas, Luke Gorrie, Cory Kiser, Julio, Edvin Saveljev, Frederick Ayala, Jeffrey Powell, Gal Kampel, Adan Romero, Will Geary, Blake Walters, Jonathan Morgan, Francesco Madrisotti, Ivy Huang, Gary Clarke, Robert Flannery, Rasmus Hindström, Stefan, Corey Abshire, Mike Loncaric, David McCormick, Ronald Legere, Sergio Dolia, Michael Cao, Yiğit Aşık and Suyog Chandramouli.
Links from the show:
- Teemu's website: https://teemusailynoja.github.io/
- Teemu on LinkedIn: https://www.linkedin.com/in/teemu-sailynoja/
- Teemu on GitHub: https://github.com/TeemuSailynoja
- Bayesian Workflow group: https://users.aalto.fi/~ave/group.html
- LBS #107 Amortized Bayesian Inference with Deep Neural Networks, with Marvin Schmitt: https://learnbayesstats.com/episode/107-amortized-bayesian-inference-deep-neural-networks-marvin-schmitt
- LBS #73 A Guide to Plotting Inferences & Uncertainties of Bayesian Models, with Jessica Hullman: https://learnbayesstats.com/episode/73-guide-plotting-inferences-uncertainties-bayesian-models-jessica-hullman
- LBS #66 Uncertainty Visualization & Usable Stats, with Matthew Kay: https://learnbayesstats.com/episode/66-uncertainty-visualization-usable-stats-matthew-kay
- LBS #35 The Past, Present & Future of BRMS, with Paul Bürkner: https://learnbayesstats.com/episode/35-past-present-future-brms-paul-burkner
- LBS #29 Model Assessment, Non-Parametric Models, And Much More, with Aki Vehtari: https://learnbayesstats.com/episode/model-assessment-non-parametric-models-aki-vehtari
- Posterior SBC – Simulation-Based Calibration Checking Conditional on Data: https://arxiv.org/abs/2502.03279
- Recommendations for visual predictive checks in Bayesian workflow: https://teemusailynoja.github.io/visual-predictive-checks/
- Simuk, SBC for PyMC: https://simuk.readthedocs.io/en/latest/
- SBC, tools for model validation in R: https://hyunjimoon.github.io/SBC/index.html
- New ArviZ, Prior and Posterior predictive checks: https://arviz-devs.github.io/EABM/Chapters/Prior_posterior_predictive_checks.html
- Bayesplot, plotting for Bayesian models in R: https://mc-stan.org/bayesplot/
Transcript
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