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University of Cambridge > Talks.cam > Probability Theory and Statistics in High and Infinite Dimensions > Adaptive nonparametric credible balls

## Adaptive nonparametric credible ballsAdd to your list(s) Download to your calendar using vCal - Aad van der Vaart, Leiden Univeristy
- Monday 23 June 2014, 14:15-14:45
- Centre for Mathematical Sciences, Meeting Room 2.
If you have a question about this talk, please contact clc32. Credible sets are central sets in the support of a posterior probability distribution, of a prescribed posterior probability. They are widely used as means of uncertainty quantification in a Bayesian analysis. We investigate the frequentist coverage of such sets in a nonparametric Bayesian setup. We show by example that credible sets can be much too narrow and misleading, and next introduce a concept of `polished tail’ parameters for which credible sets are of the correct order. The latter concept can be seen as a generalisation of self-similar functions as considered in a recent paper by Giné. Joint work with Botond Szabó and Harry van Zanten. This talk is part of the Probability Theory and Statistics in High and Infinite Dimensions series. ## This talk is included in these lists:- All CMS events
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