J. H. van Zanten

  1. Posterior Consistency via Precision Operators for Bayesian Nonparametric Drift Estimation in SDEs.

    Authors: J. H. van Zanten, Y. Pokern, A. M. Stuart
    Subjects: Methodology
    Abstract

    We study a Bayesian approach to nonparametric estimation of the periodic
    drift function of a one-dimensional diffusion from continuous-time data. We
    rewrite the likelihood in terms of Riemann integrals, by introducing the local
    time of the process, and specify a centered Gaussian prior on the drift with a
    precision operator that is of differential form. It is proved that this is a
    conjugate prior for the likelihood and hence that the posterior is also
    Gaussian.

  2. Bayesian Inverse Problems.

    Authors: A. W. van der Vaart, J. H. van Zanten, B. T. Knapik
    Subjects: Statistics
    Abstract

    The posterior distribution in a nonparametric inverse problem is shown to
    contract to the true parameter at a rate that depends on the smoothness of the
    parameter, and the smoothness and scale of the prior. Correct combinations of
    these characteristics lead to the minimax rate. The frequentist coverage of
    credible sets is shown to depend on the combination of prior and true
    parameter, with smoother priors leading to zero coverage and rougher priors to
    conservative coverage. In the latter case credible sets are of the correct
    order of magnitude.

  3. Adaptive Bayesian estimation using a Gaussian random field with inverse Gamma bandwidth.

    Authors: A. W. van der Vaart, J. H. van Zanten
    Subjects: gr. Statistics
    Abstract

    We consider nonparametric Bayesian estimation inference using a rescaled
    smooth Gaussian field as a prior for a multidimensional function. The rescaling
    is achieved using a Gamma variable and the procedure can be viewed as choosing
    an inverse Gamma bandwidth. The procedure is studied from a frequentist
    perspective in three statistical settings involving replicated observations
    (density estimation, regression and classification).

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