Adaptive Bayesian credible sets in regression with a Gaussian process prior

DOI10.1214/15-EJS1078zbMath1327.62300arXiv1504.07972MaRDI QIDQ895012

Suzanne Sniekers, Aad W. van der Vaart

Publication date: 25 November 2015

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

Full work available at URL: https://arxiv.org/abs/1504.07972

zbMATH Keywords

coverage; uncertainty quantification; credible set

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62G15: Nonparametric tolerance and confidence regions

Related Items

Can We Trust Bayesian Uncertainty Quantification from Gaussian Process Priors with Squared Exponential Covariance Kernel?, Empirical Bayes oracle uncertainty quantification for regression, Adaptation bounds for confidence bands under self-similarity, Posterior contraction and credible regions for level sets, A fast and calibrated computer model emulator: an empirical Bayes approach, Joint non-parametric estimation of mean and auto-covariances for Gaussian processes, Adaptive Bayesian credible bands in regression with a Gaussian process prior, Asymptotic frequentist coverage properties of Bayesian credible sets for sieve priors, Rejoinder: ``Probabilistic integration: a role in statistical computation?, Comment: ``Bayes, oracle Bayes and empirical Bayes

Cites Work

• Unnamed Item
• On adaptive inference and confidence bands
• Bayesian inverse problems with Gaussian priors
• An analysis of Bayesian inference for nonparametric regression
• Credible sets in the fixed design model with Brownian motion prior
• Rates of contraction of posterior distributions based on Gaussian process priors
• On nonparametric confidence intervals
• On the Bernstein-von Mises theorem with infinite-dimensional parameters
• An adaptation theory for nonparametric confidence intervals
• Convergence rates of posterior distributions.
• Weak convergence and empirical processes. With applications to statistics
• Honest adaptive confidence bands and self-similar functions
• Empirical Bayes scaling of Gaussian priors in the white noise model
• Confidence bands in density estimation
• Adaptive confidence bands
• Bayesian inference with rescaled Gaussian process priors
• Adaptive confidence balls
• Adaptive nonparametric confidence sets
• Frequentist coverage of adaptive nonparametric Bayesian credible sets
• Adaptive Confidence Bands for Nonparametric Regression Functions
• A Correspondence Between Bayesian Estimation on Stochastic Processes and Smoothing by Splines