For estimating a positive normal mean, Zhang and Woodroofe (2003) as well as Roe and Woodroofe (2000) investigate 100($1-α)%$ HPD credible sets associated with priors obtained as the truncation of noninformative priors onto the restricted parameter space. Namely, they establish the attractive lower bound of $\frac{1-α}{1+α}$ for the frequentist coverage probability of these procedures. In this work, we establish that the lower bound of $\frac{1-α}{1+α}$ is applicable for a substantially more general setting with underlying distributional symmetry, and obtain various other properties. The derivations are unified and are driven by the choice of a right Haar invariant prior. Investigations of non-symmetric models are carried out and similar results are obtained. Namely, (i) we show that the lower bound $\frac{1-α}{1+α}$ still applies for certain types of asymmetry (or skewness), and (ii) we extend results obtained by Zhang and Woodroofe (2002) for estimating the scale parameter of a Fisher distribution; which arises in estimating the ratio of variance components in a one-way balanced random effects ANOVA. Finally, various examples illustrating the wide scope of applications are expanded upon. Examples include estimating parameters in location models and location-scale models, estimating scale parameters in scale models, estimating linear combinations of location parameters such as differences, estimating ratios of scale parameters, and problems with non-independent observations.
For estimating a lower bounded parametric function in the framework of Marchand and Strawderman (2006), we provide through a unified approach a class of Bayesian confidence intervals with credibility $1-α$ and frequentist coverage probability bounded below by $\frac{1-α}{1+α}$. In cases where the underlying pivotal distribution is symmetric, the findings represent extensions with respect to the specification of the credible set achieved through the choice of a {\it spending function}, and include Marchand and Strawderman's HPD procedure result. For non-symmetric cases, the determination of a s…
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…
We investigate the relation between frequentist and Bayesian approaches. Namely, we find the "frequentist" Bayes prior π_{f}(λ,x_{obs}) = -\frac{\int_{-\infty}^{x_{obs}}\frac{\partial f(x,λ)}{\partial λ}dx}{f(x_{obs},λ)} (here f(x,λ) is the probability density) for which the results of frequentist and Bayes approaches to the determination of confidence intervals coincide. In many cases (but not always) the "frequentist" prior which reproduces frequentist results coincides with the Jeffreys prior.
For estimating a lower bounded location or mean parameter for a symmetric and logconcave density, we investigate the frequentist performance of the $100(1-α)%$ Bayesian HPD credible set associated with priors which are truncations of flat priors onto the restricted parameter space. Various new properties are obtained. Namely, we identify precisely where the minimum coverage is obtained and we show that this minimum coverage is bounded between $1-\frac{3α}{2}$ and $1-\frac{3α}{2}+\frac{α^2}{1+α}$; with the lower bound $1-\frac{3α}{2}$ improving (for $α\leq 1/3$) on the previously established ([…
We investigate the credible sets and marginal credible intervals resulting from the horseshoe prior in the sparse multivariate normal means model. We do so in an adaptive setting without assuming knowledge of the sparsity level (number of signals). We consider both the hierarchical Bayes method of putting a prior on the unknown sparsity level and the empirical Bayes method with the sparsity level estimated by maximum marginal likelihood. We show that credible balls and marginal credible intervals have good frequentist coverage and optimal size if the sparsity level of the prior is set correctl…
Given a sample of size $n$ from a population of individuals belonging to different species with unknown proportions, a popular problem of practical interest consists in making inference on the probability $D_{n}(l)$ that the $(n+1)$-th draw coincides with a species with frequency $l$ in the sample, for any $l=0,1,\ldots,n$. This paper contributes to the methodology of Bayesian nonparametric inference for $D_{n}(l)$. Specifically, under the general framework of Gibbs-type priors we show how to derive credible intervals for a Bayesian nonparametric estimation of $D_{n}(l)$, and we investigate th…
In Bayesian statistics the precise point-null hypothesis $θ=θ_0$ can be tested by checking whether $θ_0$ is contained in a credible set. This permits testing of $θ=θ_0$ without having to put prior probabilities on the hypotheses. While such inversions of credible sets have a long history in Bayesian inference, they have been criticised for lacking decision-theoretic justification. We argue that these tests have many advantages over the standard Bayesian tests that use point-mass probabilities on the null hypothesis. We present a decision-theoretic justification for the inversion of central cre…
Bayesian methods provide a natural means for uncertainty quantification, that is, credible sets can be easily obtained from the posterior distribution. But is this uncertainty quantification valid in the sense that the posterior credible sets attain the nominal frequentist coverage probability? This paper investigates the frequentist validity of posterior uncertainty quantification based on a class of empirical priors in the sparse normal mean model. In particular, we show that our marginal posterior credible intervals achieve the nominal frequentist coverage probability under conditions sligh…
This paper considers reparameterization invariant Bayesian point estimates and credible regions of model parameters for scientific inference and communication. The effect of intrinsic loss function choice in Bayesian intrinsic estimates and regions is studied with the following findings. A particular intrinsic loss function, using Kullback-Leibler divergence from the full model to the restricted model, has strong connection to a Bayesian predictive criterion, which produces point estimates with the best predictive performance. An alternative intrinsic loss function, using Kullback-Leibler dive…
Within a Bayesian retrospective framework, we present a way of examining the distribution of \cps through a novel set estimator. For a given level, $α$, we aim at smallest sets that cover all \cps with a probability of at least $1-α$. These so-called smallest simultaneous credible regions, computed for certain values of $α$, provide parsimonious representations of the possible \cp locations. In addition, combining them for a range of different $α$'s enables very informative yet condensed visualisations. Therewith we allow for the evaluation of model choices and the analysis of \cp data to an u…
Gaussian process (GP) regression is a powerful interpolation technique due to its flexibility in capturing non-linearity. In this paper, we provide a general framework for understanding the frequentist coverage of point-wise and simultaneous Bayesian credible sets in GP regression. As an intermediate result, we develop a Bernstein von-Mises type result under supremum norm in random design GP regression. Identifying both the mean and covariance function of the posterior distribution of the Gaussian process as regularized $M$-estimators, we show that the sampling distribution of the posterior me…
In a general class of Bayesian nonparametric models, we prove that the posterior distribution can be asymptotically approximated by a Gaussian process. Our results apply to nonparametric exponential family that contains both Gaussian and non-Gaussian regression, and also hold for both efficient (root-n) and inefficient (non root-n) estimation. Our general approximation theorem does not rely on posterior conjugacy, and can be verified in a class of Gaussian process priors that has a smoothing spline interpretation [59, 44]. In particular, the limiting posterior measure becomes prior-free under …
Clustering is widely studied in statistics and machine learning, with applications in a variety of fields. As opposed to classical algorithms which return a single clustering solution, Bayesian nonparametric models provide a posterior over the entire space of partitions, allowing one to assess statistical properties, such as uncertainty on the number of clusters. However, an important problem is how to summarize the posterior; the huge dimension of partition space and difficulties in visualizing it add to this problem. In a Bayesian analysis, the posterior of a real-valued parameter of interes…
Estimating a joint Highest Posterior Density credible set for a multivariate posterior density is challenging as dimension gets larger. Credible intervals for univariate marginals are usually presented for ease of computation and visualisation. There are often two layers of approximation, as we may need to compute a credible set for a target density which is itself only an approximation to the true posterior density. We obtain joint Highest Posterior Density credible sets for density estimation trees given by Li et al. (2016) approximating a density truncated to a compact subset of R^d as this…
We begin by introducing the main ideas of the paper under discussion. We discuss some interesting issues regarding adaptive component-wise credible intervals. We then briefly touch upon the concepts of self-similarity and excessive bias restriction. This is then followed by some comments on the extensive simulation study carried out in the paper.
Given data from a Poisson point process with intensity $(x,y) \mapsto n \mathbf{1}(f(x)\leq y),$ frequentist properties for the Bayesian reconstruction of the support boundary function $f$ are derived. We mainly study compound Poisson process priors with fixed intensity proving that the posterior contracts with nearly optimal rate for monotone and piecewise constant support boundaries and adapts to Hölder smooth boundaries with smoothness index at most one. We then derive a non-standard Bernstein-von Mises result for a compound Poisson process prior and a function space with increasing paramet…
Consider a linear regression model with regression parameter beta and normally distributed errors. Suppose that the parameter of interest is theta = a^T beta where a is a specified vector. Define the parameter tau = c^T beta - t where c and t are specified and a and c are linearly independent. Also suppose that we have uncertain prior information that tau = 0. Kabaila and Giri, 2009, JSPI, describe a new frequentist 1-alpha confidence interval for theta that utilizes this uncertain prior information. We compare this confidence interval with Bayesian 1-alpha equi-tailed and shortest credible in…
It is increasingly being realised that many real world time series are not stationary and exhibit evolving second-order autocovariance or spectral structure. This article introduces a Bayesian approach for modelling the evolving wavelet spectrum of a locally stationary wavelet time series. Our new method works by combining the advantages of a Haar-Fisz transformed spectrum with a simple, but powerful, Bayesian wavelet shrinkage method. Our new method produces excellent and stable spectral estimates and this is demonstrated via simulated data and on differenced infant ECG data. A major addition…
Walley's Imprecise Dirichlet Model (IDM) for categorical i.i.d. data extends the classical Dirichlet model to a set of priors. It overcomes several fundamental problems which other approaches to uncertainty suffer from. Yet, to be useful in practice, one needs efficient ways for computing the imprecise=robust sets or intervals. The main objective of this work is to derive exact, conservative, and approximate, robust and credible interval estimates under the IDM for a large class of statistical estimators, including the entropy and mutual information.
Walley's Imprecise Dirichlet Model (IDM) for categorical data overcomes several fundamental problems which other approaches to uncertainty suffer from. Yet, to be useful in practice, one needs efficient ways for computing the imprecise=robust sets or intervals. The main objective of this work is to derive exact, conservative, and approximate, robust and credible interval estimates under the IDM for a large class of statistical estimators, including the entropy and mutual information.
Machine learning applications often require calibrated predictions, e.g. a 90\% credible interval should contain the true outcome 90\% of the times. However, typical definitions of calibration only require this to hold on average, and offer no guarantees on predictions made on individual samples. Thus, predictions can be systematically over or under confident on certain subgroups, leading to issues of fairness and potential vulnerabilities. We show that calibration for individual samples is possible in the regression setup if the predictions are randomized, i.e. outputting randomized credible …
Methods for reasoning under uncertainty are a key building block of accurate and reliable machine learning systems. Bayesian methods provide a general framework to quantify uncertainty. However, because of model misspecification and the use of approximate inference, Bayesian uncertainty estimates are often inaccurate -- for example, a 90% credible interval may not contain the true outcome 90% of the time. Here, we propose a simple procedure for calibrating any regression algorithm; when applied to Bayesian and probabilistic models, it is guaranteed to produce calibrated uncertainty estimates g…
This work develops rigorous theoretical basis for the fact that deep Bayesian neural network (BNN) is an effective tool for high-dimensional variable selection with rigorous uncertainty quantification. We develop new Bayesian non-parametric theorems to show that a properly configured deep BNN (1) learns the variable importance effectively in high dimensions, and its learning rate can sometimes "break" the curse of dimensionality. (2) BNN's uncertainty quantification for variable importance is rigorous, in the sense that its 95% credible intervals for variable importance indeed covers the truth…
Population attributable risk (PAR) is used in epidemiology to predict the impact of removing a risk factor from the population. Until recently, no standard approach for calculating confidence intervals or the variance for PAR was available in the literature. Pirikahu et al. (2016) outlined a fully Bayesian approach to provide credible intervals for the PAR from a cross-sectional study, where the data was presented in the form of a 2 x 2 table. However, extensions to cater for other frequently used study designs were not provided. In this paper we provide methodology to calculate credible inter…
In this article we consider a simple step stress set up under the cumulative exposure model assumption. At each stress level the lifetime distribution of the experimental units are assumed to follow the generalized exponential distribution. We provide the order restricted Bayesian inference of the model parameters by considering the fact that the expected lifetime of the experimental units are larger in lower stress level. Analysis and the related results are extended to different censoring schemes also. The Bayes estimates and the associated credible intervals of the unknown parameters are co…
This article presents a new method for estimating the amount of an artifact class in use at a given moment in the past from a random assemblage of archaeological finds. This method is based on the use of simulation, since an analytical solution is computationally impractical. Estimating the number of artifacts in use at any time $t$ is shown to follow a Poisson distribution, which allows for credible intervals to be established using the Jeffreys prior. This estimator works from minimal assumptions about the dating and duration of finds, as well as the intensity of collection, and is applied t…
Many recently developed Bayesian methods have focused on sparse signal detection. However, much less work has been done addressing the natural follow-up question: how to make valid inferences for the magnitude of those signals after selection. Ordinary Bayesian credible intervals suffer from selection bias, owing to the fact that the target of inference is chosen adaptively. Existing Bayesian approaches for correcting this bias produce credible intervals with poor frequentist properties, while existing frequentist approaches require sacrificing the benefits of shrinkage typical in Bayesian met…
Under adaptive progressive Type-II censoring schemes, order restricted inference based on competing risks data is discussed in this article. The latent failure lifetimes for the competing causes are assumed to follow Weibull distributions, with an order restriction on the scale parameters of the distributions. The practical implication of this order restriction is that one of the risk factors is dominant, as often observed in competing risks scenarios. In this setting, likelihood estimation for the model parameters, along with bootstrap based techniques for constructing asymptotic confidence i…
Funding agencies rely on peer review and expert panels to select the research deserving funding. Peer review has limitations, including bias against risky proposals or interdisciplinary research. The inter-rater reliability between reviewers and panels is low, particularly for proposals near the funding line. Funding agencies are also increasingly acknowledging the role of chance. The Swiss National Science Foundation (SNSF) introduced a lottery for proposals in the middle group of good but not excellent proposals. In this article, we introduce a Bayesian hierarchical model for the evaluation …
We develop a Bayesian highest-density interval (HDI) for use in within-subject designs. This credible interval is based on a standard noninformative prior and a modified posterior distribution that conditions on both the data and point estimates of the subject-specific random effects. Conditioning on the estimated random effects removes between-subject variance and produces intervals that are the Bayesian analogue of the within-subject confidence interval proposed in Loftus and Masson (1994). We show that the latter interval can also be derived as a Bayesian within-subject HDI under a certain …
In this paper we consider Bayesian estimation for the parameters of inverse Gaussian distribution. Our emphasis is on Markov Chain Monte Carlo methods. We provide complete implementation of the Gibbs sampler algorithm. Assuming an informative prior, Bayes estimates are computed using the output of the Gibbs sampler and also from Lindley's approximation method. Maximum Likelihood and Uniformly Minimum Variance Unbiased estimates are obtained as well. We also compute Highest Posterior Density credible intervals, exact confidence intervals as well as "percentile" and "percentile-t" bootstrap appr…
Uncovering the distribution of magnitudes and arrival times of aftershocks is a key to comprehend the characteristics of the sequence of earthquakes, which enables us to predict seismic activities and hazard assessments. However, identifying the number of aftershocks immediately after the main shock is practically difficult due to contaminations of arriving seismic waves. To overcome the difficulty, we construct a likelihood based on the detected data incorporating a detection function to which the Gaussian process regression (GPR) is applied. The GPR is capable of estimating not only the para…
The accurate quantification of changes in the heat content of the world's oceans is crucial for our understanding of the effects of increasing greenhouse gas concentrations. The Argo program, consisting of Lagrangian floats that measure vertical temperature profiles throughout the global ocean, has provided a wealth of data from which to estimate ocean heat content. However, creating a globally consistent statistical model for ocean heat content remains challenging due to the need for a globally valid covariance model that can capture complex nonstationarity. In this paper, we develop a hierar…
This paper provides two different novel approaches of slice sampling to estimate the parameters of absolute continuous Marshall-Olkin bivariate Pareto distribution with location and scale parameters. We carry out the bayesian analysis taking gamma prior for shape and scale parameters and truncated normal for location parameters. Credible intervals and coverage probabilities are also provided for all methods. A real-life data analysis is shown for illustrative purpose.
We present new mass estimates and cumulative mass profiles (CMPs) with Bayesian credible regions for the Milky Way (MW) Galaxy, given the kinematic data of globular clusters as provided by (1) the $\textit{Gaia}$ DR2 collaboration and the HSTPROMO team, and (2) the new catalog in Vasiliev (2019). We use globular clusters beyond 15kpc to estimate the CMP of the MW, assuming a total gravitational potential model $Φ(r) = Φ_{\circ}r^{-γ}$, which approximates an NFW-type potential at large distances when $γ=0.5$. We compare the resulting CMPs given data sets (1) and (2), and find the results to be …
This paper provides bayesian analysis of singular Marshall-Olkin bivariate Pareto distribution. We consider three parameter singular Marshall-Olkin bivariate Pareto distribution. We consider two types of prior - reference prior and gamma prior. Bayes estimate of the parameters are calculated based on slice cum gibbs sampler and Lindley approximation. Credible interval is also provided for all methods and all prior distributions. A data analysis is kept for illustrative purpose.
In this paper, we investigate the classical and Bayesian estimation of unknown parameters of the Gumbel type-II distribution based on adaptive type-II progressive hybrid censored sample (AT-II PHCS). The maximum likelihood estimates (MLEs) and maximum product spacing estimates (MPSEs) are developed and computed numerically using Newton-Raphson method. Bayesian approaches are employed to estimate parameters under symmetric and asymmetric loss functions. Bayesian estimates are not in explicit forms. Thus, Bayesian estimates are obtained by using Markov chain Monte Carlo (MCMC) method along with …
