Inference via spike-and-slab posterior distributions - VVSOR - VVSOR

Inference via spike-and-slab posterior distributions

We cordially invite you to the last Bayes club meeting of this semester, taking place on Friday, the 1st of June in Leiden.

Speaker: Ismael Castillo (Paris Sorbonne)
Title: Inference via spike-and-slab posterior distributions
Time: 16:00-17:00 on the 1st June, 2018
Location: room 401, MI, Niels Bohrweg 1, Leiden

Abstract: This talk will discuss several aspects of inference using  so-called spike-and-slab prior distributions on unknown sparse vectors, where the proportion of non-zero coefficients is chosen using marginal  maximum likelihood Empirical Bayes.  We will consider convergence of the full posterior distribution in terms of rates, its ability to provide asymptotically valid confidence sets that cover the true sparse parameter, as well as the possibility to use such a posterior for testing multiple hypotheses.

The talk is based on joint works with Romain Mismer, Botond Szabo and Etienne Roquain.

For the list of upcoming talks and further information about the seminar please visit the (relocated) seminar website: http://pub.math. leidenuniv.nl/~szabobt/bayes_ club.html