統計数学セミナー

過去の記録 ~10/06次回の予定今後の予定 10/07~

担当者 吉田朋広、増田弘毅、荻原哲平、小池祐太
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

2012年10月18日(木)

15:15-16:25   数理科学研究科棟(駒場) 006号室
参加をご希望される方は鎌谷 (阪大基礎工); kamatani at sigmath.es.osaka-u.ac.jpまでご連絡ください.
加藤 賢悟 氏 (広島大学大学院理学研究科数学専攻)
Quasi-Bayesian analysis of nonparametric instrumental variables models (JAPANESE)
[ 講演概要 ]
This paper aims at developing a quasi-Bayesian analysis
of the nonparametric instrumental variables model, with a focus on the
asymptotic properties of quasi-posterior distributions. In this paper,
instead of assuming a distributional assumption on the data generating
process, we consider a quasi-likelihood induced from the conditional
moment restriction, and put priors on the function-valued parameter.
We call the resulting posterior quasi-posterior, which corresponds to
``Gibbs posterior'' in the literature. Here we shall focus on sieve
priors, which are priors that concentrate on finite dimensional sieve
spaces. The dimension of the sieve space should increase as the sample
size. We derive rates of contraction and a non-parametric Bernstein-von
Mises type result for the quasi-posterior distribution, and rates of
convergence for the quasi-Bayes estimator defined by the posterior
expectation. We show that, with priors suitably chosen, the
quasi-posterior distribution (the quasi-Bayes estimator) attains the
minimax optimal rate of contraction (convergence, respectively). These
results greatly sharpen the previous related work.
[ 参考URL ]
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2012/08.html