arXiv Machine Learning By Shreya Sinha-Roy, Richard G. Everitt, Christian P. Robert, Ritabrata Dutta

Prequential posteriors

Read the original on arXiv Machine Learning →

The paper introduces prequential posteriors, a Bayesian approach that uses a predictive‑sequential loss function to update deep generative forecasting models (DGFMs) when new data arrive. By adopting a consistency notion suitable for model misspecification, the authors prove that both the loss minimizer and the posterior concentrate on parameters with optimal predictive performance. Scalable inference is achieved with parallelisable waste‑free sequential Monte Carlo samplers that employ preconditioned gradient kernels, and the method is validated on synthetic and real meteorological time‑series data.

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