Variational inference based on a subclass of closed skew normals
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Gaussian distributions are widely used in Bayesian variational inference to approximate intractable posterior densities, but the ability to accommodate skewness can improve approximation accuracy significantly, especially when data or prior information is scarce. We study the properties of a subclass of closed skew normals constructed using affine transformation of independent standardized univariate skew normals as the variational density, and illustrate how this subclass provides increased flexibility and accuracy in approximating the joint posterior density in a variety of applications by overcoming limitations in existing skew normal variational approximations. The evidence lower bound is optimized using stochastic gradient ascent, where analytic natural gradient updates are derived. We also demonstrate how problems in maximum likelihood estimation of skew normal parameters occur similarly in stochastic variational inference and can be resolved using the centered parametrization.
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