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arxiv 1606.07153 v1 pith:AN2APAY6 submitted 2016-06-23 stat.ML stat.APstat.ME

Fast robustness quantification with variational Bayes

classification stat.ML stat.APstat.ME
keywords robustnessbayesexpectationsfasthierarchicalmodelsposteriorvariational
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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Bayesian hierarchical models are increasing popular in economics. When using hierarchical models, it is useful not only to calculate posterior expectations, but also to measure the robustness of these expectations to reasonable alternative prior choices. We use variational Bayes and linear response methods to provide fast, accurate posterior means and robustness measures with an application to measuring the effectiveness of microcredit in the developing world.

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