Full adaptation to smoothness using randomly truncated series priors with Gaussian coefficients and inverse gamma scaling

DOI10.1016/J.SPL.2016.12.009zbMATH Open1463.62102arXiv1609.01577OpenAlexW2513880075MaRDI QIDQ511556FDOQ511556

Authors: Jan van Waaij, Harry van Zanten 

Publication date: 21 February 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We study random series priors for estimating a functional parameter (fin L^2[0,1]). We show that with a series prior with random truncation, Gaussian coefficients, and inverse gamma multiplicative scaling, it is possible to achieve posterior contraction at optimal rates and adaptation to arbitrary degrees of smoothness. We present general results that can be combined with existing rate of contraction results for various nonparametric estimation problems. We give concrete examples for signal estimation in white noise and drift estimation for a one-dimensional SDE.

Full work available at URL: https://arxiv.org/abs/1609.01577

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zbMATH Keywords

adaptationwhite noiseBayesian nonparametric statisticsposterior convergenceseries priorsignal estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Functional data analysis (62R10) White noise theory (60H40)

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Cited In (1)

• Nonparametric Bayesian label prediction on a large graph using truncated Laplacian regularization

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