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Static sensitivity analysis

After this discussion, I pointed Ryan Giordano, Tamara Broderick, and Michael Jordan to Figure 4 of this paper with Bois and Jiang as an example of “static sensitivity analysis.” I’ve never really followed up on this idea but I think it could be useful for many problems.

Giordano replied:

Here’s a copy of Basu’s robustness paper, contemporaneous with your 1996 paper, which we talked about. I think it’s a nice, easy-to-understand way to get at what you were also aiming for. In the spirit of your diagnostic graphs, I think a better use of the idea is to report a bunch of “slopes” rather than just look for the worst-case direction (there’s no reason to think the unit ball means anything when you’re comparing a large number of different prior parameters), but the basic idea of replacing derivatives with covariances seems like a good one to me.

I like this and I’d like to incorporate it into our statistical workflow.

P.S. The “static” in static sensitivity analysis refers to the idea that we’re doing the computations using the results of a single fitted model, rather than performing sensitivity analysis by re-fitting the model several times under different assumptions.

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