36,809 research outputs found

    Rate-optimal Bayesian intensity smoothing for inhomogeneous Poisson processes

    Get PDF
    We apply nonparametric Bayesian methods to study the problem of estimating the intensity function of an inhomogeneous Poisson process. We exhibit a prior on intensities which both leads to a computationally feasible method and enjoys desirable theoretical optimality properties. The prior we use is based on B-spline expansions with free knots, adapted from well-established methods used in regression, for instance. We illustrate its practical use in the Poisson process setting by analyzing count data coming from a call centre. Theoretically we derive a new general theorem on contraction rates for posteriors in the setting of intensity function estimation. Practical choices that have to be made in the construction of our concrete prior, such as choosing the priors on the number and the locations of the spline knots, are based on these theoretical findings. The results assert that when properly constructed, our approach yields a rate-optimal procedure that automatically adapts to the regularity of the unknown intensity function

    Nonparametric regression in exponential families

    Get PDF
    Most results in nonparametric regression theory are developed only for the case of additive noise. In such a setting many smoothing techniques including wavelet thresholding methods have been developed and shown to be highly adaptive. In this paper we consider nonparametric regression in exponential families with the main focus on the natural exponential families with a quadratic variance function, which include, for example, Poisson regression, binomial regression and gamma regression. We propose a unified approach of using a mean-matching variance stabilizing transformation to turn the relatively complicated problem of nonparametric regression in exponential families into a standard homoscedastic Gaussian regression problem. Then in principle any good nonparametric Gaussian regression procedure can be applied to the transformed data. To illustrate our general methodology, in this paper we use wavelet block thresholding to construct the final estimators of the regression function. The procedures are easily implementable. Both theoretical and numerical properties of the estimators are investigated. The estimators are shown to enjoy a high degree of adaptivity and spatial adaptivity with near-optimal asymptotic performance over a wide range of Besov spaces. The estimators also perform well numerically.Comment: Published in at http://dx.doi.org/10.1214/09-AOS762 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

    Fast and scalable non-parametric Bayesian inference for Poisson point processes

    Get PDF
    We study the problem of non-parametric Bayesian estimation of the intensity function of a Poisson point process. The observations are nn independent realisations of a Poisson point process on the interval [0,T][0,T]. We propose two related approaches. In both approaches we model the intensity function as piecewise constant on NN bins forming a partition of the interval [0,T][0,T]. In the first approach the coefficients of the intensity function are assigned independent gamma priors, leading to a closed form posterior distribution. On the theoretical side, we prove that as nβ†’βˆž,n\rightarrow\infty, the posterior asymptotically concentrates around the "true", data-generating intensity function at an optimal rate for hh-H\"older regular intensity functions (0<h≀10 < h\leq 1). In the second approach we employ a gamma Markov chain prior on the coefficients of the intensity function. The posterior distribution is no longer available in closed form, but inference can be performed using a straightforward version of the Gibbs sampler. Both approaches scale well with sample size, but the second is much less sensitive to the choice of NN. Practical performance of our methods is first demonstrated via synthetic data examples. We compare our second method with other existing approaches on the UK coal mining disasters data. Furthermore, we apply it to the US mass shootings data and Donald Trump's Twitter data.Comment: 45 pages, 22 figure
    • …
    corecore