Papers › Bayesian measures of leverage and influence
Bayesian measures of leverage and influence
Martyn Plummer
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Leverage and influence are regression diagnostics that are used to measure the sensitivity of parameter estimates to changes in the data. In this article, Bayesian leverage and influence diagnostics are derived from a local sensitivity framework in which the case weights of individual observations are perturbed. The resulting diagnostics can be applied to any Bayesian model and are easy to estimate using Markov Chain Monte Carlo. Bayesian measures of leverage and influence are closely related to predictive information criteria that are commonly used for Bayesian model choice. The penalty terms for these information criteria can be reinterpreted in terms of local sensitivity diagnostics. This connection helps to understand differences between the various information criteria that have been proposed in the literature. A comparison between leverage and influence measures leads to a new diagnostic for outlier detection. By considering multivariate case weight perturbations, groups of observations can be highlighted that are collectively outliers. This may suggest ways to improve the model. A diagnostic for sensitivity to the learning rate is also proposed that may be interpreted as a measure of prior-data conflict. This diagnostic can be adapted to measure cross-conflict between different parts of the data.
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