Approximate Bayesian inference typically revolves around computing the posterior parameter distribution. In practice, however, the main object of interest is often a model's predictions rather than its parameters. In this work, we propose to bypass the parameter posterior and focus directly on approximating the posterior predictive distribution. We achieve this by drawing inspiration from self-training within self-supervised and semi-supervised learning. Essentially, we quantify a Bayesian model's predictive uncertainty by refitting on self-predicted data. The idea is strikingly simple: If a model assigns high likelihood to self-predicted data, these predictions are of low uncertainty, and vice versa. This yields a deterministic, sampling-free approximation of the posterior predictive. The modular structure of our Self-Supervised Laplace Approximation (SSLA) further allows us to plug in different prior specifications, enabling classical Bayesian sensitivity (w.r.t. prior choice) analysis. In order to bypass expensive refitting, we further introduce an approximate version of SSLA, called ASSLA. We study (A)SSLA both theoretically and empirically in regression models ranging from Bayesian linear models to Bayesian neural networks. Across a wide array of regression tasks with simulated and real-world datasets, our methods outperform classical Laplace approximations in predictive calibration while remaining computationally efficient.

In this paper we compare and contrast the behavior of the posterior predictive distribution to the risk of the the maximum a posteriori estimator for the random features regression model in the overparameterized regime. We will focus on the variance of the posterior predictive distribution (Bayesian model average) and compare its asymptotics to that of the risk of the MAP estimator. In the regime where the model dimensions grow faster than any constant multiple of the number of samples, asymptotic agreement between these two quantities is governed by the phase transition in the signal-to-noise ratio. They also asymptotically agree with each other when the number of samples grow faster than any constant multiple of model dimensions. Numerical simulations illustrate finer distributional properties of the two quantities for finite dimensions. We conjecture they have Gaussian fluctuations and exhibit similar properties as found by previous authors in a Gaussian sequence model, this is of independent theoretical interest.

-- In this work we introduce a novel adaptive anomaly detection framework specifically designed for monitoring sequential random finite set (RFS) observations. Our approach effectively distinguishes between In-Control data (normal) and Out-Of-Control data (anomalies) by detecting deviations from the expected statistical behavior of the process. The primary contributions of this study include the development of an innovative RFS-based framework that not only learns the normal behavior of the data-generating process online but also dynamically adapts to behavioral shifts to accurately identify abnormal point patterns. T o achieve this, we introduce a new class of RFS-based posterior distributions, named Power Discounting Posteriors (PD), which facilitate adaptation to systematic changes in data while enabling anomaly detection of point pattern data through a novel predictive posterior density function. The effectiveness of the proposed approach is demonstrated by extensive qualitative and quantitative simulation experiments.

Dirichlet process mixture of Gaussians (DPMG) has been used in the literature for clustering and density estimation problems. However, many real-world data exhibit cluster distributions that cannot be captured by a single Gaussian. Modeling such data sets by DPMG creates several extraneous clusters even when clusters are relatively well-defined.