Institute of Mathematical Statistics Collections

Reproducing kernel Hilbert spaces of Gaussian priors

A. W. van der Vaart, J. H. van Zanten

Abstract

We review definitions and properties of reproducing kernel Hilbert spaces attached to Gaussian variables and processes, with a view to applications in nonparametric Bayesian statistics using Gaussian priors. The rate of contraction of posterior distributions based on Gaussian priors can be described through a concentration function that is expressed in the reproducing Hilbert space. Absolute continuity of Gaussian measures and concentration inequalities play an important role in understanding and deriving this result. Series expansions of Gaussian variables and transformations of their reproducing kernel Hilbert spaces under linear maps are useful tools to compute the concentration function.

First Page: Show Hide
Primary Subjects: 60G15, 62G05
Keywords: Bayesian inference; rate of convergence
Full-text: Open access
Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.imsc/1209398470
Digital Object Identifier: doi:10.1214/074921708000000156

References

[1] Borell, C. (1975). The Brunn–Minkowski inequality in Gauss space. Invent. Math. 30 207–216.
Mathematical Reviews (MathSciNet): MR399402
Zentralblatt MATH: 0311.60007
Digital Object Identifier: doi:10.1007/BF01425510
[2] Cirel'son, B. S. (1975). Density of the distribution of the maximum of a Gaussian process. Teor. Verojatnost. i Primenen. 20 865–873.
Mathematical Reviews (MathSciNet): MR394834
[3] de Acosta, A. (1983). Small deviations in the functional central limit theorem with applications to functional laws of the iterated logarithm. Ann. Probab. 11 78–101.
Mathematical Reviews (MathSciNet): MR682802
Digital Object Identifier: doi:10.1214/aop/1176993661
Project Euclid: euclid.aop/1176993661
[4] Ghosal, S., Ghosh, J. K. and van der Vaart, A. W. (2000). Convergence rates of posterior distributions. Ann. Statist. 28 500–531.
Mathematical Reviews (MathSciNet): MR1790007
Digital Object Identifier: doi:10.1214/aos/1016218228
Project Euclid: euclid.aos/1016218228
[5] Ghosal, S. and Roy, A. (2006). Posterior consistency in nonparametric regression problem under gaussian process prior. Ann. Statist. 34 2413–2429.
Mathematical Reviews (MathSciNet): MR2291505
Zentralblatt MATH: 1106.62039
Digital Object Identifier: doi:10.1214/009053606000000795
Project Euclid: euclid.aos/1169571802
[6] Jameson, G. J. O. (1974). Topology and Normed Spaces. Chapman and Hall, London.
Mathematical Reviews (MathSciNet): MR463890
Zentralblatt MATH: 0285.46002
[7] Kuelbs, J. and Li, W. V. (1993). Metric entropy and the small ball problem for Gaussian measures. J. Funct. Anal. 116 133–157.
Mathematical Reviews (MathSciNet): MR1237989
Zentralblatt MATH: 0799.46053
Digital Object Identifier: doi:10.1006/jfan.1993.1107
[8] Kuelbs, J., Li, W. V. and Linde, W. (1994). The Gaussian measure of shifted balls. Probab. Theory Related Fields 98 143–162.
Mathematical Reviews (MathSciNet): MR1258983
Zentralblatt MATH: 0792.60004
Digital Object Identifier: doi:10.1007/BF01192511
[9] Ledoux, M. and Talagrand, M. (1991). Probability in Banach Spaces. Springer, Berlin.
Mathematical Reviews (MathSciNet): MR1102015
Zentralblatt MATH: 0748.60004
[10] Li, W. V. and Linde, W. (1999). Approximation, metric entropy and small ball estimates for gaussian measures. Ann. Probab. 27 1556–1578.
Mathematical Reviews (MathSciNet): MR1733160
Zentralblatt MATH: 0983.60026
Digital Object Identifier: doi:10.1214/aop/1022677459
Project Euclid: euclid.aop/1022677459
[11] Li, W. V. and Shao, Q.-M. (2001). Gaussian processes: inequalities, small ball probabilities and applications. In Stochastic Processes: Theory and Methods 533–597. Handbook of Statist. 19. North-Holland, Amsterdam.
Mathematical Reviews (MathSciNet): MR1861734
Zentralblatt MATH: 0987.60053
[12] Rudin, W. (1973). Functional Analysis. McGraw-Hill Book Co., New York.
Mathematical Reviews (MathSciNet): MR365062
[13] Samko, S. G., Kilbas, A. A. and Marichev, O. I. (1993). Fractional Integrals and Derivatives. Gordon and Breach Science Publishers, Yverdon.
Mathematical Reviews (MathSciNet): MR1347689
[14] Tokdar, S. and Ghosh, J. (2005). Posterior consistency of gaussian process priors in density estimation. J. Statist. Plann. Inference 137 34–42.
[15] van der Vaart, A. and van Zanten, J. (2008). Rates of contraction of posterior distributions based on gaussian process priors. Ann. Statist. To appear.
Mathematical Reviews (MathSciNet): MR2418663
Zentralblatt MATH: 1141.60018
Digital Object Identifier: doi:10.1214/009053607000000613
Project Euclid: euclid.aos/1211819570
[16] van der Vaart, A. W. (1988). Statistical Estimation in Large Parameter Spaces. Stichting Mathematisch Centrum Centrum voor Wiskunde en Informatica, Amsterdam.
Mathematical Reviews (MathSciNet): MR927725
Zentralblatt MATH: 0629.62035
[17] van der Vaart, A. W. and Wellner, J. A. (1996). Weak Convergence and Empirical Processes. Springer, New York.
Mathematical Reviews (MathSciNet): MR1385671
Zentralblatt MATH: 0862.60002

2012 © Institute of Mathematical Statistics

Institute of Mathematical Statistics Collections

Institute of Mathematical Statistics Collections