Gibbs posterior concentration rates under sub-exponential type losses
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Bayesian posterior distributions are widely used for inference, but their dependence on a statistical model creates some challenges. In particular, there may be lots of nuisance parameters that require prior distributions and posterior computations, plus a potentially serious risk of model misspecification bias. Gibbs posterior distributions, on the other hand, offer direct, principled, probabilistic inference on quantities of interest through a loss function, not a model-based likelihood. Here we provide simple sufficient conditions for establishing Gibbs posterior concentration rates when the loss function is of a sub-exponential type. We apply these general results in a range of practically relevant examples, including mean regression, quantile regression, and sparse high-dimensional classification. We also apply these techniques in an important problem in medical statistics, namely, estimation of a personalized minimum clinically important difference.
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