Bayesian Analysis

Posterior Concentration Rates for Counting Processes with Aalen Multiplicative Intensities

Sophie Donnet, Vincent Rivoirard, Judith Rousseau, and Catia Scricciolo

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Abstract

We provide sufficient conditions to derive posterior concentration rates for Aalen counting processes on a finite time horizon. The conditions are designed to resemble those proposed in the literature for the problem of density estimation, for instance, in Ghosal et al. (2000), so that existing results on density estimation can be adapted to the present setting. We apply the general theorem to some prior models including Dirichlet process mixtures of uniform densities to estimate monotone nondecreasing intensities and log-splines.

Article information

Source
Bayesian Anal. Volume 12, Number 1 (2017), 53-87.

Dates
First available in Project Euclid: 28 December 2015

Permanent link to this document
https://projecteuclid.org/euclid.ba/1451333725

Digital Object Identifier
doi:10.1214/15-BA986

Keywords
Aalen model counting processes Dirichlet process mixtures posterior concentration rates

Citation

Donnet, Sophie; Rivoirard, Vincent; Rousseau, Judith; Scricciolo, Catia. Posterior Concentration Rates for Counting Processes with Aalen Multiplicative Intensities. Bayesian Anal. 12 (2017), no. 1, 53--87. doi:10.1214/15-BA986. https://projecteuclid.org/euclid.ba/1451333725


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