An Approximate Analytical Approach to Resampling Averages

Dörthe Malzahn, Manfred Opper; 4(Dec):1151-1173, 2003.


Using a novel reformulation, we develop a framework to compute approximate resampling data averages analytically. The method avoids multiple retraining of statistical models on the samples. Our approach uses a combination of the replica "trick" of statistical physics and the TAP approach for approximate Bayesian inference. We demonstrate our approach on regression with Gaussian processes. A comparison with averages obtained by Monte-Carlo sampling shows that our method achieves good accuracy.