Oracle convergence rate of posterior under projection prior and Bayesian model selection

DOI10.3103/S1066530710030026MaRDI QIDQ2437894zbMATH OpenOpenAlexFDO

Authors E. Belitser, A. Babenko

Publication date 10 March 2014

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s1066530710030026

zbMATH Keywords

probabilityBayes approachoracle projection posterior rateBayes model selectorfalse selectionposterior-randomized estimator

Mathematics Subject Classification ID

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

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Cites work

• Adaptive Bayesian inference on the mean of an infinite-dimensional normal distribution
• An oracle approach to adaptive estimation of linear functionals in a Gaussian model
• Asymptotic equivalence of nonparametric regression and white noise
• Convergence rates of posterior distributions.
• Empirical Bayesian test of the smoothness
• Gaussian model selection
• Learning algorithm for nonparametric filtering
• On a method of empirical risk minimization
• On minimax filtering over ellipsoids
• Optimal filtering of square-integrable signals in Gaussian noise
• Oracle inequalities for inverse problems
• Ordered linear smoothers
• Penalized blockwise Stein's method, monotone oracles and sharp adaptive estimation
• Random rates in anisotropic regression. (With discussion)

Cited in

(12)

• Oracle-type posterior contraction rates in Bayesian inverse problems
• Needles and straw in a haystack: robust confidence for possibly sparse sequences
• Asymptotically minimax empirical Bayes estimation of a sparse normal mean vector
• Robust oracle estimation and uncertainty quantification for possibly sparse quantiles
• Local inference by penalization method for biclustering model
• Bayesian linear regression with sparse priors
• Oracle posterior contraction rates under hierarchical priors
• Lower bound for the oracle projection posterior convergence rate
• On the posterior pointwise convergence rate of a Gaussian signal under a conjugate prior
• Adaptive Bayesian procedures using random series priors
• Bayesian optimal adaptive estimation using a sieve prior
• Empirical Bayes analysis of spike and slab posterior distributions

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