Locally adaptive Bayes nonparametric regression via nested Gaussian processes
From MaRDI portal
reproducing kernel Hilbert spacestochastic differential equationsnested smoothing splinespenalized sum-of-squares
Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Numerical analysis or methods applied to Markov chains (65C40) Applications of functional analysis in probability theory and statistics (46N30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Abstract: We propose a nested Gaussian process (nGP) as a locally adaptive prior for Bayesian nonparametric regression. Specified through a set of stochastic differential equations (SDEs), the nGP imposes a Gaussian process prior for the function's th-order derivative. The nesting comes in through including a local instantaneous mean function, which is drawn from another Gaussian process inducing adaptivity to locally-varying smoothness. We discuss the support of the nGP prior in terms of the closure of a reproducing kernel Hilbert space, and consider theoretical properties of the posterior. The posterior mean under the nGP prior is shown to be equivalent to the minimizer of a nested penalized sum-of-squares involving penalties for both the global and local roughness of the function. Using highly-efficient Markov chain Monte Carlo for posterior inference, the proposed method performs well in simulation studies compared to several alternatives, and is scalable to massive data, illustrated through a proteomics application.
Recommendations
- Function estimation with locally adaptive dynamic models
- Adaptive Bayesian credible sets in regression with a Gaussian process prior
- Adaptive nonparametric Bayesian inference using location-scale mixture priors
- Locally adaptive Bayesian P-splines with a normal-exponential-gamma prior
- Bayesian nonparametric modelling with the Dirichlet process regression smoother
Cites work
- scientific article; zbMATH DE number 3885090 (Why is no real title available?)
- scientific article; zbMATH DE number 45848 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 5055767 (Why is no real title available?)
- A simple and efficient simulation smoother for state space time series analysis
- Automatic Bayesian Curve Fitting
- Bayesian Analysis of Mass Spectrometry Proteomic Data Using Wavelet-Based Functional Mixed Models
- Bayesian curve-fitting with free-knot splines
- Bayesian forecasting and dynamic models.
- Bayesian mixture of splines for spatially adaptive nonparametric regression
- Gaussian Process Regression Analysis for Functional Data
- Gaussian processes for machine learning.
- Ideal spatial adaptation by wavelet shrinkage
- Improved inference in nonparametric regression using \(L_ k\)-smoothing splines
- Locally adaptive Bayesian P-splines with a normal-exponential-gamma prior
- Multivariate adaptive regression splines
- Nonparametric regression using Bayesian variable selection
- On posterior consistency in nonparametric regression problems
- Penalized regression with model-based penalties
- Posterior consistency of Gaussian process prior for nonparametric binary regression
- Radon-Nikodym Derivatives of Gaussian Measures
- Rates of contraction of posterior distributions based on Gaussian process priors
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Spatially Adaptive Regression Splines and Accurate Knot Selection Schemes
- Spatially adaptive smoothing splines
- Stochastic expansions using continuous dictionaries: Lévy adaptive regression kernels
- Stochastic functional data analysis: a diffusion model-based approach
- Time series analysis by state space methods
- Variable selection for nonparametric Gaussian process priors: Models and computational strategies
- Weak convergence and empirical processes. With applications to statistics
Cited in
(7)- Adaptive Bayesian nonparametric regression using a kernel mixture of polynomials with application to partial linear models
- Bayesian dynamic financial networks with time-varying predictors
- Locally adaptive smoothing with Markov random fields and shrinkage priors
- Learning and forecasting of age-specific period mortality via B-spline processes with locally-adaptive dynamic coefficients
- Sharp bounds on distribution functions and expectations of mixtures of ordered families of distributions
- Predictions based on the clustering of heterogeneous functions via shape and subject-specific covariates
- PiPs: a kernel-based optimization scheme for analyzing non-stationary 1D signals
This page was built for publication: Locally adaptive Bayes nonparametric regression via nested Gaussian processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5406371)
