Bayesian inverse problems with non-conjugate priors

被引:48
|
作者
Ray, Kolyan [1 ]
机构
[1] Ctr Math Sci, Stat Lab, Cambridge CB3 0WA, England
来源
关键词
Rate of contraction; posterior distribution; non-parametric hypothesis testing; CONVERGENCE-RATES; POSTERIOR DISTRIBUTIONS; WAVELET DECONVOLUTION; CONTRACTION;
D O I
10.1214/13-EJS851
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We investigate the frequentist posterior contractionrate of nonparametric Bayesian procedures in linear inverse problems in both the Mildly and severely ill-posed cases. A theorem is provedin a general Hilbert Space setting under approximation-theoretic assumptions on the prior. The Resultis applied to non-conjugate priors, notably sieve and wavelet series priors, as well as in the conjugate setting. In the mildly ill-posed setting minimax optimal rates are obtained, with sieve priors being rate adaptive over Sobolev classes. In the severely ill-posed setting, over smoothing the prior yields minimax rates. Previously established results in the conjugate setting are obtained using this method. Examples of applications include deconvolution, recovering the initial condition in the heat equation and the Radon transform.
引用
收藏
页码:2516 / 2549
页数:34
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