Supremum norm posterior contraction and credible sets for nonparametric multivariate regression

DOI10.1214/15-AOS1398zbMATH Open1338.62121arXiv1411.6716OpenAlexW3105065807WikidataQ57431822 ScholiaQ57431822MaRDI QIDQ292877FDOQ292877

Authors: William Weimin Yoo, Subhashis Ghosal 

Publication date: 9 June 2016

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

Abstract: In the setting of nonparametric multivariate regression with unknown error variance, we study asymptotic properties of a Bayesian method for estimating a regression function f and its mixed partial derivatives. We use a random series of tensor product of B-splines with normal basis coefficients as a prior for f, and the error variance is either estimated using the empirical Bayes approach or is endowed with a suitable prior in a hierarchical Bayes approach. We establish pointwise, L2 and supremum norm posterior contraction rates for f and its mixed partial derivatives, and show that they coincide with the minimax rates. Our results cover even the anisotropic situation, where the true regression function may have different smoothness in different directions. Using the convergence bounds, we show that pointwise, L2 and supremum norm credible sets for f and its mixed partial derivatives have guaranteed frequentist coverage with optimal size. New results on tensor products of B-splines are also obtained in the course.

Full work available at URL: https://arxiv.org/abs/1411.6716

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zbMATH Keywords

anisotropic smoothnessmixed partial derivativesnonparametric multivariate regressionsup-norm posterior contractiontensor product B-splines

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15)

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Cited In (34)

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