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CATEGORIES:Probability Theory and Statistics in High and Infi
nite Dimensions
SUMMARY:Adaptive nonparametric credible balls - Aad van de
r Vaart\, Leiden Univeristy
DTSTART;TZID=Europe/London:20140623T141500
DTEND;TZID=Europe/London:20140623T144500
UID:TALK53096AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/53096
DESCRIPTION:Credible sets are central sets in the support of a
posterior probability distribution\, \nof a presc
ribed posterior probability. They are widely used
as means of uncertainty quantification in a Bayesi
an analysis. We investigate the frequentist covera
ge 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 cr
edible sets are of the correct order. The latter c
oncept can be seen as a generalisation of self-sim
ilar functions as considered in a recent paper by
Giné. \nJoint work with Botond Szabó and Harry van
Zanten.\n
LOCATION:Centre for Mathematical Sciences\, Meeting Room 2
CONTACT:
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