The Annals of Statistics

Posterior consistency of Gaussian process prior for nonparametric binary regression

Subhashis Ghosal and Anindya Roy

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Abstract

Consider binary observations whose response probability is an unknown smooth function of a set of covariates. Suppose that a prior on the response probability function is induced by a Gaussian process mapped to the unit interval through a link function. In this paper we study consistency of the resulting posterior distribution. If the covariance kernel has derivatives up to a desired order and the bandwidth parameter of the kernel is allowed to take arbitrarily small values, we show that the posterior distribution is consistent in the L1-distance. As an auxiliary result to our proofs, we show that, under certain conditions, a Gaussian process assigns positive probabilities to the uniform neighborhoods of a continuous function. This result may be of independent interest in the literature for small ball probabilities of Gaussian processes.

Article information

Source
Ann. Statist., Volume 34, Number 5 (2006), 2413-2429.

Dates
First available in Project Euclid: 23 January 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1169571802

Digital Object Identifier
doi:10.1214/009053606000000795

Mathematical Reviews number (MathSciNet)
MR2291505

Zentralblatt MATH identifier
1106.62039

Subjects
Primary: 62G08: Nonparametric regression 62G20: Asymptotic properties

Keywords
Binary regression Gaussian process Karhunen–Loeve expansion maximal inequality posterior consistency reproducing kernel Hilbert space

Citation

Ghosal, Subhashis; Roy, Anindya. Posterior consistency of Gaussian process prior for nonparametric binary regression. Ann. Statist. 34 (2006), no. 5, 2413--2429. doi:10.1214/009053606000000795. https://projecteuclid.org/euclid.aos/1169571802


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