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Bayesian wavelet estimators in nonparametric regression

Dr Natalia Bochkina (University of Edinburgh)

Web site: http://www.maths.ed.ac.uk/~nbochkin/

Dr Bochkina will present a series of 4 lectures, on 28-31 March 2011.

Note that the times vary from day to day.

  • Classical and Bayesian approaches to estimation in nonparametric regression, Monday 28 March, 3pm
  • Classical minimax consistency and concentration of posterior measures, Tuesday 29 March, 3pm
  • Wavelet estimators in nonparametric regression, Wednesday 30 March, 2pm
  • Wavelet estimators: simultaneous local and global optimality, Thursday 31 March, 11.10am

These should be of general interest, especially those whose work touches on Bayesian analysis, wavelets, or nonparametric regression. There are no pre-requisites for understanding the lectures, beyond say 3rd year undergraduate statistics.

Location: seminar room SM4, School of Mathematics, University of Bristol: Mathematics is building number 29 on the university precinct map.

Slides for lecture 1 | lecture 2 | lecture 3 | lecture 4

Summary

In the first two lectures I will give an overview of Bayesian and frequentist methods in nonparametric regression, such as kernel estimators, orthogonal basis estimators (Bayesian and non-Bayesian) and Bayesian estimators with Gaussian process priors (lecture 1), introduce the frameworks to study the validity of these methods, namely minimax consistency and concentration of posterior measures, and discuss such issues as the rate of convergence and adaptivity to unknown function smoothness (lecture 2).

The third lecture will be a review of Bayesian wavelet methods in nonparametric regression, and in the fourth lecture my latest work on simultaneous local and global optimality of Bayesian wavelet estimators will be presented.

Another wavelet seminar

Debashis Mondal (Chicago): Wavelet variance analysis for gappy time series data, 11am, Friday 1 April

Fionnuala Hill, SuSTaIn Coordinator, School of Mathematics, University of Bristol, Bristol, BS8 1TW, UK.
Email link Tel: +44 (0)117 928 8664, Fax: +44 (0)117 928 7999