When Noise Estimation Hides Basis Misspecification in Repeated Bayesian Inverse Problems
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Abstract (arXiv)
Basis-restricted priors in Bayesian inverse problems can lose coverage when the truth has components outside the basis. We show that estimating the observation-noise variance can hide this loss. Under a linear forward model, when the in-span prior variance dominates the noise, the maximum-likelihood noise estimate absorbs the out-of-basis energy in the complement of the model range. Residual-magnitude and observation-coverage checks then stay near nominal while field coverage falls. We study repeated problems sharing one forward operator and one basis, fixed independently of the tested data. After projection onto the complement, and conditionally on the fitted noise scale, every exact test is a test of the scale-free direction of the residuals. We test the shape of their sample spectrum with John's sphericity statistic. Under Gaussian noise its null model is exact at finite sample size, and we derive its null mean and its power at proportional dimension. On synthetic problems and in a preregistered GEBCO topography study, the test detects structured out-of-basis variation that cross-validation and observation-coverage checks largely miss. It cannot detect Gaussian out-of-basis variation that is isotropic in the complement, since that is indistinguishable from a change of noise scale.
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References · 5
- 2014Hilbert Space Methods for Reduced-Rank Gaussian Process Regressioncited by 88
- 2017Linearly constrained Gaussian processescited by 42
- 2014Optimal low-rank approximations of Bayesian linear inverse problemscited by 22
- 2015Testing the Sphericity of a covariance matrix when the dimension is much larger than the sample sizecited by 2
- 2026Sequential Structure-Sensitive Residual Diagnostics for PDE Inverse Problemscited by 2
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