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March 2017 Posterior Concentration Rates for Counting Processes with Aalen Multiplicative Intensities
Sophie Donnet, Vincent Rivoirard, Judith Rousseau, Catia Scricciolo
Bayesian Anal. 12(1): 53-87 (March 2017). DOI: 10.1214/15-BA986

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.

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Sophie Donnet. Vincent Rivoirard. Judith Rousseau. Catia Scricciolo. "Posterior Concentration Rates for Counting Processes with Aalen Multiplicative Intensities." Bayesian Anal. 12 (1) 53 - 87, March 2017. https://doi.org/10.1214/15-BA986

Information

Published: March 2017
First available in Project Euclid: 28 December 2015

zbMATH: 1384.62083
MathSciNet: MR3597567
Digital Object Identifier: 10.1214/15-BA986

Rights: Copyright © 2017 International Society for Bayesian Analysis

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Vol.12 • No. 1 • March 2017
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