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On the Local Sensitivity of M-Estimation: Bayesian and Frequentist Applications


This thesis uses the local sensitivity of M-estimators to address a number of

extant problems in Bayesian and frequentist statistics. First, by exploiting a

duality from the Bayesian robustness literature between sensitivity and

covariances, I provide significantly improved covariance estimates for mean

field variational Bayes (MFVB) procedures at little extra computational cost.

Prior to this work, applications of MFVB have arguably been limited to

prediction problems rather than inference problems for lack of reliable

uncertainty measures. Second, I provide practical finite-sample accuracy bounds

for the ``infinitesimal jackknife'' (IJ), a classical measure of local

sensitivity to an empirical process. In doing so, I bridge a gap between

classical IJ theory and recent machine learning practice, showing that stringent

classical conditions for the consistency of the IJ can be relaxed for restricted

but useful classes of weight vectors, such as those of leave-K-out cross

validation. Finally, I provide techniques to quantify the sensitivity of the

inferred number of clusters in Bayesian nonparametric (BNP) unsupervised

clustering problems to the form of the Dirichlet process prior. By considering

local sensitivity to be an approximation to global sensitivity rather than a

measure of robustness per se, I provide tools with considerably

improved ability to extrapolate to different priors. Because each of these

diverse applications are based on the same formal technique---the Taylor series

expansion of an M-estimator---this work captures in a unified way the

computational difficulties associated with each, and I provide open-source tools

in Python and R to assist in their computation.

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