Adaptive Bayesian estimation in indirect Gaussian sequence space models

MaRDI QIDQ6258681zbMATH OpenFDO

Authors Jan Johannes, Anna Simoni, Rudolf Schenk

Publication date 31 January 2015

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Abstract: In an indirect Gaussian sequence space model lower and upper bounds are derived for the concentration rate of the posterior distribution of the parameter of interest shrinking to the parameter value $het{a}^{c}irc$ that generates the data. While this establishes posterior consistency, however, the concentration rate depends on both $het{a}^{c}irc$ and a tuning parameter which enters the prior distribution. We first provide an oracle optimal choice of the tuning parameter, i.e., optimized for each $het{a}^{c}irc$ separately. The optimal choice of the prior distribution allows us to derive an oracle optimal concentration rate of the associated posterior distribution. Moreover, for a given class of parameters and a suitable choice of the tuning parameter, we show that the resulting uniform concentration rate over the given class is optimal in a minimax sense. Finally, we construct a hierarchical prior that is adaptive. This means that, given a parameter $het{a}^{c}irc$ or a class of parameters, respectively, the posterior distribution contracts at the oracle rate or at the minimax rate over the class. Notably, the hierarchical prior does not depend neither on $het{a}^{c}irc$ nor on the given class. Moreover, convergence of the fully data-driven Bayes estimator at the oracle or at the minimax rate is established.

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