Bayesian Discrepancy Measure: Higher-order and Skewed approximations

Abstract: The aim of this paper is to discuss both higher-order asymptotic expansions and skewed approximations for the Bayesian Discrepancy Measure for testing precise statistical hypotheses. In particular, we derive results on third-order asymptotic approximations and skewed approximations for univariate posterior distributions, also in the presence of nuisance parameters, demonstrating improved accuracy in capturing posterior shape with little additional computational cost over simple first-order approximations. For the third-order approximations, connections to frequentist inference via matching priors are highlighted. Moreover, the definition of the Bayesian Discrepancy Measure and the proposed methodology are extended to the multivariate setting, employing tractable skew-normal posterior approximations obtained via derivative matching at the mode. Accurate multivariate approximations for the Bayesian Discrepancy Measure are then derived by defining credible regions based on the Optimal Transport map, that transforms the skew-normal approximation to a standard multivariate normal distribution. The performance and practical benefits of these higher-order and skewed approximations are illustrated through two examples.