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SUMMARY:Adaptive nonparametric credible balls - Aad van der Vaart\, Leiden
  Univeristy 
DTSTART:20140623T131500Z
DTEND:20140623T134500Z
UID:TALK53096@talks.cam.ac.uk
CONTACT:37296
DESCRIPTION:Credible sets are central sets in the support of a posterior p
 robability distribution\, \nof a prescribed posterior probability. They ar
 e widely used as means of uncertainty quantification in a Bayesian analysi
 s. We investigate the frequentist coverage of such sets in a nonparametric
  Bayesian setup. We show by example that credible sets can be much too nar
 row and misleading\, and next introduce a concept of `polished tail' param
 eters for which credible sets are of the correct order. The latter concept
  can be seen as a generalisation of self-similar functions as considered i
 n a recent paper by Giné. \nJoint work with Botond Szabó and Harry van Z
 anten.\n
LOCATION:Centre for Mathematical Sciences\, Meeting Room 2
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