Rates of Convergence for a Bayesian Level Set Estimation

Authors: GAYRAUD, GHISLAINE¹; ROUSSEAU, JUDITH²

Source: Scandinavian Journal of Statistics, Volume 32, Number 4, December 2005 , pp. 639-660(22)

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Abstract:

We are interested in estimating level sets using a Bayesian non-parametric approach, from an independent and identically distributed sample drawn from an unknown distribution. Under fairly general conditions on the prior, we provide an upper bound on the rate of convergence of the Bayesian level set estimate, via the rate at which the posterior distribution concentrates around the true level set. We then consider, as an application, the log-spline prior in the two-dimensional unit cube. Assuming that the true distribution belongs to a class of Hölder, we provide an upper bound on the rate of convergence of the Bayesian level set estimates. We compare our results with existing rates of convergence in the frequentist non-parametric literature: the Bayesian level set estimator proves to be competitive and is also easy to compute, which is of no small importance. A simulation study is given as an illustration.

Keywords: Bayesian non-parametric estimation; convergence rates of the posterior distribution; level set

Document Type: Research article

DOI: http://dx.doi.org/10.1111/j.1467-9469.2005.00448.x

Affiliations: 1: Université de Rouen, LMRS-UMR 6085 2: Université Paris Dauphine, Ceremade

Publication date: 2005-12-01