Nonparametric Bayesian analysis of the compound Poisson prior for support boundary recovery

DOI10.1214/19-AOS1853zbMATH Open1452.62155OpenAlexW3043029782MaRDI QIDQ2196227FDOQ2196227

Authors Markus Reiß, Johannes Schmidt-Hieber 

Publication date 28 August 2020

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1809.04140

zbMATH Keywords

posterior contractionPoisson point processBernstein-von Mises theoremcompound Poisson processboundary detectionfrequentist Bayes analysissubordinator prior

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Bayesian problems; characterization of Bayes procedures (62C10)

Abstract: Given data from a Poisson point process with intensity $(x,y)mapstonmathbf1(f(x)leqy),$ frequentist properties for the Bayesian reconstruction of the support boundary function $f$ are derived. We mainly study compound Poisson process priors with fixed intensity proving that the posterior contracts with nearly optimal rate for monotone and piecewise constant support boundaries and adapts to H"older smooth boundaries with smoothness index at most one. We then derive a non-standard Bernstein-von Mises result for a compound Poisson process prior and a function space with increasing parameter dimension. As an intermediate result the limiting shape of the posterior for random histogram type priors is obtained. In both settings, it is shown that the marginal posterior of the functional $vartheta=intf$ performs an automatic bias correction and contracts with a faster rate than the MLE. In this case, $(1-alpha)$-credible sets are also asymptotic $(1-alpha)$-confidence intervals. As a negative result, it is shown that the frequentist coverage of credible sets is lost for linear functions indicating that credible sets only have frequentist coverage for priors that are specifically constructed to match properties of the underlying true function.

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Cited In (9)

• Bayesian boundary trend filtering
• Compound Poisson processes, latent shrinkage priors and Bayesian nonconvex penalization
• Functional estimation and hypothesis testing in nonparametric boundary models
• Criteria for posterior consistency and convergence at a rate
• A Bayesian nonparametric approach to log-concave density estimation
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Uses Software

• BartPy

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