Statistics Papers

Document Type

Journal Article

Date of this Version

2000

Publication Source

The Annals of Statistics

Volume

28

Issue

2

Start Page

532

Last Page

552

DOI

10.1214/aos/1016218229

Abstract

We study the Bayesian approach to nonparametric function estimation problems such as nonparametric regression and signal estimation. We consider the asymptotic properties of Bayes procedures for conjugate (= Gaussian) priors.

We show that so long as the prior puts nonzero measure on the very large parameter set of interest then the Bayes estimators are not satisfactory. More specifically, we show that these estimators do not achieve the correct minimax rate over norm bounded sets in the parameter space. Thus all Bayes estimators for proper Gaussian priors have zero asymptotic efficiency in this minimax sense.

We then present a class of priors whose Bayes procedures attain the optimal minimax rate of convergence. These priors may be viewed as compound, or hierarchical, mixtures of suitable Gaussian distributions.

Keywords

white noise, nonparametric regression, Bayes, minimax, conjugate priors

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Date Posted: 27 November 2017

This document has been peer reviewed.