论文标题
贝叶斯多元等渗回归中可靠间隔的覆盖范围
Coverage of Credible Intervals in Bayesian Multivariate Isotonic Regression
论文作者
论文摘要
我们考虑了非参数多元等渗回归问题,其中假定回归函数相对于每个预测指标而言是不重点的。我们的目标是在给定内部点上构建一个贝叶斯可信间隔,以确保限制频繁的覆盖范围。我们对不受限制的阶跃功能进行了先验,但是通过“沉浸式映射”从不受限制的函数到多变量单调函数的“沉浸式映射”进行推理。这允许维持自然结合,以进行后取样。要使用的自然沉浸式图是通过距离进行投影,但是在当前情况下,发现块同位化图更有用。使用诱导的“沉浸式后验”测度而不是原始的后部进行推理的方法提供了有用的贝叶斯范式扩展,在模型空间受到某些复杂关系限制时,尤其是有帮助的。我们建立了一个关键的弱收敛结果,以在多指数高斯过程的某些功能方面对函数的后验分布,这导致表达贝叶斯可靠间隔的限制覆盖率。类似于单变量单调函数的最新结果,我们发现限制覆盖范围略高于可信度,这与平滑问题中观察到的现象相反。有趣的是,信誉和限制覆盖范围之间的关系不涉及任何未知参数。因此,通过重新校准程序,我们可以通过选择小于目标覆盖范围的合适的信誉水平来获得预定的渐近覆盖范围,从而缩短了可靠的间隔。
We consider the nonparametric multivariate isotonic regression problem, where the regression function is assumed to be nondecreasing with respect to each predictor. Our goal is to construct a Bayesian credible interval for the function value at a given interior point with assured limiting frequentist coverage. We put a prior on unrestricted step-functions, but make inference using the induced posterior measure by an "immersion map" from the space of unrestricted functions to that of multivariate monotone functions. This allows maintaining the natural conjugacy for posterior sampling. A natural immersion map to use is a projection via a distance, but in the present context, a block isotonization map is found to be more useful. The approach of using the induced "immersion posterior" measure instead of the original posterior to make inference provides a useful extension of the Bayesian paradigm, particularly helpful when the model space is restricted by some complex relations. We establish a key weak convergence result for the posterior distribution of the function at a point in terms of some functional of a multi-indexed Gaussian process that leads to an expression for the limiting coverage of the Bayesian credible interval. Analogous to a recent result for univariate monotone functions, we find that the limiting coverage is slightly higher than the credibility, the opposite of a phenomenon observed in smoothing problems. Interestingly, the relation between credibility and limiting coverage does not involve any unknown parameter. Hence by a recalibration procedure, we can get a predetermined asymptotic coverage by choosing a suitable credibility level smaller than the targeted coverage, and thus also shorten the credible intervals.