, Volume 23, Issue 3, pp 556–584 | Cite as

Bayesian model robustness via disparities

Original Paper


This paper develops a methodology for robust Bayesian inference through the use of disparities. Metrics such as Hellinger distance and negative exponential disparity have a long history in robust estimation in frequentist inference. We demonstrate that an equivalent robustification may be made in Bayesian inference by substituting an appropriately scaled disparity for the log likelihood to which standard Monte Carlo Markov Chain methods may be applied. A particularly appealing property of minimum-disparity methods is that while they yield robustness with a breakdown point of 1/2, the resulting parameter estimates are also efficient when the posited probabilistic model is correct. We demonstrate that a similar property holds for disparity-based Bayesian inference. We further show that in the Bayesian setting, it is also possible to extend these methods to robustify regression models, random effects distributions and other hierarchical models. These models require integrating out a random effect; this is achieved via MCMC but would otherwise be numerically challenging. The methods are demonstrated on real-world data.


Deviance test Kernel density Hellinger distance  Negative exponential disparity MCMC Bayesian inference Posterior Outliers 

Mathematics Subject Classification




Giles Hooker’s research was supported by National Science Foundation grant DEB-0813734 and the Cornell University Agricultural Experiment Station federal formula funds Project No. 150446. Anand N. Vidyashankar’s research was supported in part by a grant from National Science Foundation, DMS-000-03-07057.

Supplementary material

11749_2014_360_MOESM1_ESM.pdf (293 kb)
Supplementary material 1 (pdf 292 KB)


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Copyright information

© Sociedad de Estadística e Investigación Operativa 2014

Authors and Affiliations

  1. 1.Department of Biological Statistics and Computational BiologyCornell UniversityIthacaUSA
  2. 2.Department of StatisticsGeorge Mason UniversityFairfaxUSA

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