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CANCELED - SDS Seminar Series - Dr. Subhashis Ghoshal
Friday, March 27, 2020, 02:00pm - 03:00pm

The SDS Spring 2020 Seminar Series has been canceled for the rest of the semester.

The Spring 2020 SDS Seminar Series continues with Dr. Subhashis Ghoshal of North Carolina State University (Department of Statistics), on Friday, March 27th, 2020 from 2:00 p.m. to 3:00 p.m. in CBA 4.324 on The University of Texas at Austin campus.

subhashis ghoshal

Title: "Coverage of Credible Intervals Under Monotone Shape Restriction"

Abstract: Shape restrictions such as monotonicity often naturally arise. In this talk, we consider a Bayesian approach to inference on monotone functions appearing in nonparametric regression or density estimation. We assign a prior through piecewise constant functions initially ignoring the shape restriction. Since the resulting functions need not be monotone, we project samples from the posterior on the allowed parameter space to construct a “projection posterior”. We obtain the distributional limit of a suitably centered and scaled posterior distribution for the function value at a point. The limit distribution has an interesting similarity and difference with the corresponding limit distribution for the maximum likelihood estimator. By comparing the quantiles of these two distributions, we observe an interesting new phenomenon that coverage of a credible interval can be more than the credibility level, the opposite of a phenomenon observed by Cox in smooth regression regimes. We then describe a recalibration strategy to modify the credible interval to obtain the correct level of coverage. 

This talk is based on joint work with former doctoral student Moumita Chakraborty.

Location: CBA 4.324
March 27, 2020 - Dr. Subhashis Ghoshal
North Carolina State University, Department of Statistics
CBA 4.324, 2:00 to 3:00 PM