Frequentist Consistency of Variational Bayes

  title={Frequentist Consistency of Variational Bayes},
  author={Yixin Wang and David M. Blei},
A key challenge for modern Bayesian statistics is how to perform scalable inference of posterior distributions. To address this challenge, variational Bayes (vb) methods have emerged as a popular alternative to the classical Markov chain Monte Carlo (mcmc) methods. vb methods tend to be faster while achieving comparable predictive performance. However, there are few theoretical results around vb. In this paper, we establish frequentist consistency and asymptotic normality of vb methods… CONTINUE READING