[Forum SIS] DEC Seminar - April 18th / A. van der Vaart (Leiden University)

[Catia Scricciolo]

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                    STATISTICS SEMINAR SERIES -  BOCCONI  UNIVERSITY 
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The Department of Decision Sciences, Bocconi University, cordially invites  
all interested  to attend the following seminar: 
  
  
Speaker: Aad van der Vaart, Leiden University 
Title: Nonparametric credible sets 
Date: April 18th, 2013 
Time: 12:30 pm 
Venue: Room 3-E4-SR03, Via Roentgen 1, Milano 
  
  
  
Abstract 
  
In the past decades Bayesian nonparametric methods have developed into a success story, 
first in practice and in the last ten years also backed up by theory. The theory mostly concerned 
contraction rates of posterior distributions in a frequentist-Bayes framework, where the 
Bayesian model defines the posterior distribution, but the data are assumed to have been 
generated from a fixed distribution. The general highlight is that posterior distributions in 
nonparametric problems such as density or regression function estimation can contract to a given 
truth at the frequentist optimal rate of recovery. A hierarchical Bayesian framework can even 
deliver this when the regularity of the parameter is unknown (so-called adaptation). A question is 
whether there are equally comforting conclusions about  uncertainty quantification through  a 
nonparametric posterior distribution. Is the spread in the posterior (or the lack of spread), possibly 
measured by a credible set, a good basis for expressing estimation error? Recent results show 
that Bayesian oversmoothing, by specifying a prior that models the parameters as more 
regular than it really is, can have disastrous consequences. The big question concerns 
the performance of hierarchical Bayesian procedures (or the closely related empirical Bayesian ones). 
The matter is complicated by the fact that non-Bayesian confidence sets also may run into trouble, 
not only in a philosophical sense, but in practice. 




For more information on the DEC seminar series, please visit 
http://www.unibocconi.eu/statseminar 

  
  
  
  
  

  
  
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ 
Catia Scricciolo 
Department of Decision Sciences 
Bocconi University 
Via G. Röntgen 1 
(Room 3-E1-07) 
I-20136 Milano (ITALY) 

Tel.:     +39 02 58365684 
Fax:      +39 02 58365630 
E-mail:   catia.scricciolo a unibocconi.it 
Webpage:  http://faculty.unibocconi.eu/catiascricciolo/ 
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