Flexible Perturbation Models for Robustness to Misspecification
Abstract: In many applications, there are natural statistical models with interpretable parameters that provide insight into questions of interest. While useful, these models are almost always wrong in the sense that they only approximate the true data generating process. In some cases, it is important to account for this model error when quantifying uncertainty in the parameters. We propose to model the distribution of the observed data as a perturbation of an idealized model of interest by using a nonparametric…