相关论文: Bernstein von-Mises Theorem for g-prior and nonloc…

In a given problem, the Bayesian statistical paradigm requires the specification of a prior distribution that quantifies relevant information about the unknowns of main interest external to the data. In cases where little such information…

This paper aims to examine the characteristics of the posterior distribution of covariance/precision matrices in a "large $p$, large $n$" scenario, where $p$ represents the number of variables and $n$ is the sample size. Our analysis…

Circular variables arise in a multitude of data-modelling contexts ranging from robotics to the social sciences, but they have been largely overlooked by the machine learning community. This paper partially redresses this imbalance by…

This is a review of asymptotic and non-asymptotic behaviour of Bayesian methods under model specification. In particular we focus on consistency, i.e. convergence of the posterior distribution to the point mass at the best parametric…

We consider Bayesian inverse problems wherein the unknown state is assumed to be a function with discontinuous structure a priori. A class of prior distributions based on the output of neural networks with heavy-tailed weights is…

We develop novel empirical Bernstein inequalities for the variance of bounded random variables. Our inequalities hold under constant conditional variance and mean, without further assumptions like independence or identical distribution of…

The behavior of Bayesian model averaging (BMA) for the normal linear regression model in the presence of influential observations that contribute to model misfit is investigated. Remedies to attenuate the potential negative impacts of such…

Many statistical problems include model parameters that are defined as the solutions to optimization sub-problems. These include classical approaches such as profile likelihood as well as modern applications involving flow networks or…

The bias-variance decomposition is a central result in statistics and machine learning, but is typically presented only for the squared error. We present a generalization of the bias-variance decomposition where the prediction error is a…

In this paper we obtain a Bernstein type inequality for a class of weakly dependent and bounded random variables. The proofs lead to a moderate deviations principle for sums of bounded random variables with exponential decay of the strong…

This work is concerned with the convergence of Gaussian process regression. A particular focus is on hierarchical Gaussian process regression, where hyper-parameters appearing in the mean and covariance structure of the Gaussian process…

We describe a hierarchical Bayesian approach for inference about a parameter $\theta$ lower-bounded by $\alpha$ with uncertain $\alpha$, derive some basic identities for posterior analysis about $(\theta,\alpha)$, and provide illustrations…

The main object of this paper is to present some general concepts of Bayesian inference and more specifically the estimation of the hyperparameters in inverse problems. We consider a general linear situation where we are given some data…

Motivated by the application to German interest rates, we propose a timevarying autoregressive model for short and long term prediction of time series that exhibit a temporary non-stationary behavior but are assumed to mean revert in the…

When do nonparametric Bayesian procedures ``overfit''? To shed light on this question, we consider a binary regression problem in detail and establish frequentist consistency for a certain class of Bayes procedures based on hierarchical…

Model inadequacy and measurement uncertainty are two of the most confounding aspects of inference and prediction in quantitative sciences. The process of scientific inference (the inverse problem) and prediction (the forward problem)…

This paper studies large sample properties of a Bayesian approach to inference about slope parameters $\gamma$ in linear regression models with a structural break. In contrast to the conventional approach to inference about $\gamma$ that…

The choice of tuning parameters in Bayesian variable selection is a critical problem in modern statistics. In particular, for Bayesian linear regression with non-local priors, the scale parameter in the non-local prior density is an…

We establish that Laplace transforms of the posterior Dirichlet process converge to those of the limiting Brownian bridge process in a neighbourhood about zero, uniformly over Glivenko-Cantelli function classes. For real-valued random…

The well-known Leibniz theorem (Leibniz Criterion or alternating series test) of convergence of alternating series is generalized for the case when the absolute value of terms of series are "not absolutely monotonously" convergent to zero.…