文章基本信息

标题：Adaptive Bayesian Nonparametric Regression Using a Kernel Mixture of Polynomials with Application to Partial Linear Models
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作者：Fangzheng Xie ; Yanxun Xu
期刊名称：Bayesian Analysis
印刷版ISSN：1931-6690
电子版ISSN：1936-0975
出版年度：2020
卷号：15
期号：1
页码：159-186
DOI：10.1214/19-BA1148
语种：English
出版社：International Society for Bayesian Analysis
摘要：We propose a kernel mixture of polynomials prior for Bayesian nonparametric regression. The regression function is modeled by local averages of polynomials with kernel mixture weights. We obtain the minimax-optimal contraction rate of the full posterior distribution up to a logarithmic factor by estimating metric entropies of certain function classes. Under the assumption that the degree of the polynomials is larger than the unknown smoothness level of the true function, the posterior contraction behavior can adapt to this smoothness level provided an upper bound is known. We also provide a frequentist sieve maximum likelihood estimator with a near-optimal convergence rate. We further investigate the application of the kernel mixture of polynomials to partial linear models and obtain both the near-optimal rate of contraction for the nonparametric component and the Bernstein-von Mises limit (i.e., asymptotic normality) of the parametric component. The proposed method is illustrated with numerical examples and shows superior performance in terms of computational efficiency, accuracy, and uncertainty quantification compared to the local polynomial regression, DiceKriging, and the robust Gaussian stochastic process.
关键词：Bayesian nonparametric regression; Bernstein-von Mises limit; metric entropies; partial linear model; rate of contraction