Robust Bayesian Inference for Measurement Error Models

Measurement error occurs when a set of covariates influencing a response variable are corrupted by noise. This can lead to misleading inference outcomes, particularly in problems where accurately estimating the relationship between covariates and response variables is crucial, such as causal effect estimation. Existing methods for dealing with measurement error often rely on strong assumptions such as knowledge of the error distribution or its variance and availability of replicated measurements of the covariates. We propose a Bayesian Nonparametric Learning framework which is robust to mismeasured covariates, does not require the preceding assumptions, and is able to incorporate prior beliefs about the true error distribution. Our approach gives rise to two methods that are robust to measurement error via different loss functions: one based on the Total Least Squares objective and the other based on Maximum Mean Discrepancy (MMD). The latter allows for generalisation to non-Gaussian distributed errors and non-linear covariate-response relationships. We provide bounds on the generalisation error using the MMD-loss and showcase the effectiveness of the proposed framework versus prior art in real-world mental health and dietary datasets that contain significant measurement errors.