Bayesian optimal adaptive estimation using a sieve prior

DOI10.1002/SJOS.12002zbMATH Open1364.62102arXiv1204.2392OpenAlexW3123767603MaRDI QIDQ2852628FDOQ2852628

Authors: Julyan Arbel, Ghislaine Gayraud, Judith Rousseau 

Publication date: 9 October 2013

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Abstract: We derive rates of contraction of posterior distributions on nonparametric models resulting from sieve priors. The aim of the paper is to provide general conditions to get posterior rates when the parameter space has a general structure, and rate adaptation when the parameter space is, e.g., a Sobolev class. The conditions employed, although standard in the literature, are combined in a different way. The results are applied to density, regression, nonlinear autoregression and Gaussian white noise models. In the latter we have also considered a loss function which is different from the usual l2 norm, namely the pointwise loss. In this case it is possible to prove that the adaptive Bayesian approach for the l2 loss is strongly suboptimal and we provide a lower bound on the rate.

Full work available at URL: https://arxiv.org/abs/1204.2392

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zbMATH Keywords

adaptationwhite noise modelrate of contractionnonparametric modelssieve priorminimax criteria

Mathematics Subject Classification ID

Bayesian inference (62F15) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Minimax procedures in statistical decision theory (62C20)

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Cited In (30)

• Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
• Adaptive rates of contraction of posterior distributions in Bayesian wavelet regression
• Optimal convergence rates of Bayesian wavelet estimation with a novel empirical prior in nonparametric regression model
• Bayesian inverse problems with non-conjugate priors
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• Bayesian inference in nonparanormal graphical models
• Bayesian linear inverse problems in regularity scales with discrete observations
• Posterior concentration and fast convergence rates for generalized Bayesian learning
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• Rates of contraction of posterior distributions based on \(p\)-exponential priors
• Uncertainty quantification for Bayesian CART
• Bayesian sieve method for piece-wise smooth regression
• Bayesian linear inverse problems in regularity scales
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• Bayesian estimation of nonlinear Hawkes processes
• Adaptive Bayesian Procedures Using Random Series Priors
• Data-driven priors and their posterior concentration rates
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