Performance of Bayesian linear regression in a model with mismatch
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For a model of high-dimensional linear regression with random design, we analyze the performance of an estimator given by the mean of a log-concave Bayesian posterior distribution with gaussian prior. The model is mismatched in the following sense: like the model assumed by the statistician, the labels-generating process is linear in the input data, but both the classifier ground-truth prior and gaussian noise variance are unknown to her. This inference model can be rephrased as a version of the Gardner model in spin glasses and, using the cavity method, we provide fixed point equations for various overlap order parameters, yielding in particular an expression for the mean-square reconstruction error on the classifier (under an assumption of uniqueness of solutions). As a direct corollary we obtain an expression for the free energy. Similar models have already been studied by Shcherbina and Tirozzi and by Talagrand, but our arguments are more straightforward and some assumptions are relaxed. An interesting consequence of our analysis is that in the random design setting of ridge regression, the performance of the posterior mean is independent of the noise variance (or "temperature") assumed by the statistician, and matches the one of the usual (zero temperature) ridge estimator.
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