Rates of contraction of posterior distributions based on Gaussian process priors
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Publication:930663
DOI10.1214/009053607000000613zbMATH Open1141.60018arXiv0806.3024OpenAlexW2126417278MaRDI QIDQ930663FDOQ930663
Authors: J. H. van Zanten, Aad van der Vaart 
Publication date: 1 July 2008
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We derive rates of contraction of posterior distributions on nonparametric or semiparametric models based on Gaussian processes. The rate of contraction is shown to depend on the position of the true parameter relative to the reproducing kernel Hilbert space of the Gaussian process and the small ball probabilities of the Gaussian process. We determine these quantities for a range of examples of Gaussian priors and in several statistical settings. For instance, we consider the rate of contraction of the posterior distribution based on sampling from a smooth density model when the prior models the log density as a (fractionally integrated) Brownian motion. We also consider regression with Gaussian errors and smooth classification under a logistic or probit link function combined with various priors.
Full work available at URL: https://arxiv.org/abs/0806.3024
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Bayesian inferenceclassificationnonparametric regressionrate of convergencenonparametric density estimation
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