Oracle posterior contraction rates under hierarchical priors (Q2044331): Difference between revisions

Assume a collection of suitably nested models are available for data observed from a statistical experiment. The following hierarchical Bayesian model selection procedure is considered in this paper: a prior assessing the uncertainty of the model to use is assigned in the first step, followed by a second step which assigns another prior quantifying the prior belief in the strength of the signals within the specific chosen model from the first step. A unified and general theoretical treatment on the behavior of the posterior distributions from this procedure is given in this paper. The general results obtained in this paper are applied to several statistical problems, which include trace regression problem, shape-restricted regression problem, high-dimensional partially linear regression problem, covariance matrix estimation in the sparse factor model, detection of polytopal image boundary, estimation of piecewise constant intensity in a Poisson point process model, and density estimation problem.