Σεμινάριο: "Confidence Intervals for Nonparametric Empirical Bayes Analysis"

ΚΥΚΛΟΣ ΣΕΜΙΝΑΡΙΩΝ ΣΤΑΤΙΣΤΙΚΗΣ ΙΟΥΛΙΟΣ 2022

Ομιλητής: Nikolaos Ignatiadis (PhD Student, Statistics Department, Stanford University, USA)

Confidence Intervals for Nonparametric Empirical Bayes Analysis

ΠΕΡΙΛΗΨΗ         

In an empirical Bayes analysis, we use data from repeated sampling to imitate inferences made by an oracle Bayesian with extensive knowledge of the data-generating distribution. Existing results provide a comprehensive characterization of when and why empirical Bayes point estimates accurately recover oracle Bayes behavior. In this work, we construct flexible and practical nonparametric confidence intervals that provide asymptotic frequentist coverage of empirical Bayes estimands, such as the posterior mean and the local false sign rate. From a methodological perspective we build upon results on affine minimax estimation, and our coverage statements hold even when estimands are only partially identified or when empirical Bayes point estimates converge very slowly.

This is joint work with Stefan Wager.

Room/Link: TBA

Ημερομηνία Εκδήλωσης: 
Παρασκευή, Ιούλιος 1, 2022 - 13:00