Rate exact Bayesian adaptation with modified block priors
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Publication:5963524
DOI10.1214/15-AOS1368zbMATH Open1331.62215arXiv1312.3937MaRDI QIDQ5963524FDOQ5963524
Authors: Chao Gao, Harrison H. Zhou 
Publication date: 22 February 2016
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: A novel block prior is proposed for adaptive Bayesian estimation. The prior does not depend on the smoothness of the function or the sample size. It puts sufficient prior mass near the true signal and automatically concentrates on its effective dimension. A rate-optimal posterior contraction is obtained in a general framework, which includes density estimation, white noise model, Gaussian sequence model, Gaussian regression and spectral density estimation.
Full work available at URL: https://arxiv.org/abs/1312.3937
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