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| Main Authors: | , |
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| Format: | Preprint |
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2022
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| Online Access: | https://arxiv.org/abs/2210.11626 |
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| _version_ | 1866912789998600192 |
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| author | Liu, Zejian Li, Meng |
| author_facet | Liu, Zejian Li, Meng |
| contents | Derivatives are a key nonparametric functional in wide-ranging applications where the rate of change of an unknown function is of interest. In the Bayesian paradigm, Gaussian processes (GPs) are routinely used as a flexible prior for unknown functions, and are arguably one of the most popular tools in many areas. However, little is known about the optimal modeling strategy and theoretical properties when using GPs for derivatives. In this article, we study a plug-in strategy by differentiating the posterior distribution with GP priors for derivatives of any order. This practically appealing plug-in GP method has been previously perceived as suboptimal and degraded, but this is not necessarily the case. We provide posterior contraction rates for plug-in GPs and establish that they achieve optimal rates simultaneously for all derivative orders. We show that the posterior measure of the regression function and its derivatives, with the same choice of hyperparameter that does not depend on the order of derivatives, converges at the minimax optimal rate up to a logarithmic factor for functions in certain classes. We analyze a data-driven hyperparameter tuning method based on empirical Bayes, and show that it satisfies the optimal rate condition while maintaining computational efficiency. This article to the best of our knowledge provides the first positive result for plug-in GPs in the context of inferring derivative functionals, and leads to a practically simple nonparametric Bayesian method with optimal and adaptive hyperparameter tuning for simultaneously estimating the regression function and its derivatives. Simulations show competitive finite sample performance of the plug-in GP method. A climate change application for analyzing the global sea-level rise is discussed. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2210_11626 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Optimal plug-in Gaussian processes for modeling derivatives Liu, Zejian Li, Meng Statistics Theory Derivatives are a key nonparametric functional in wide-ranging applications where the rate of change of an unknown function is of interest. In the Bayesian paradigm, Gaussian processes (GPs) are routinely used as a flexible prior for unknown functions, and are arguably one of the most popular tools in many areas. However, little is known about the optimal modeling strategy and theoretical properties when using GPs for derivatives. In this article, we study a plug-in strategy by differentiating the posterior distribution with GP priors for derivatives of any order. This practically appealing plug-in GP method has been previously perceived as suboptimal and degraded, but this is not necessarily the case. We provide posterior contraction rates for plug-in GPs and establish that they achieve optimal rates simultaneously for all derivative orders. We show that the posterior measure of the regression function and its derivatives, with the same choice of hyperparameter that does not depend on the order of derivatives, converges at the minimax optimal rate up to a logarithmic factor for functions in certain classes. We analyze a data-driven hyperparameter tuning method based on empirical Bayes, and show that it satisfies the optimal rate condition while maintaining computational efficiency. This article to the best of our knowledge provides the first positive result for plug-in GPs in the context of inferring derivative functionals, and leads to a practically simple nonparametric Bayesian method with optimal and adaptive hyperparameter tuning for simultaneously estimating the regression function and its derivatives. Simulations show competitive finite sample performance of the plug-in GP method. A climate change application for analyzing the global sea-level rise is discussed. |
| title | Optimal plug-in Gaussian processes for modeling derivatives |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2210.11626 |