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Bayesian nonparametric regression with varying residual density

  • Debdeep PatiEmail author
  • David B. Dunson
Article

Abstract

We consider the problem of robust Bayesian inference on the mean regression function allowing the residual density to change flexibly with predictors. The proposed class of models is based on a Gaussian process (GP) prior for the mean regression function and mixtures of Gaussians for the collection of residual densities indexed by predictors. Initially considering the homoscedastic case, we propose priors for the residual density based on probit stick-breaking mixtures. We provide sufficient conditions to ensure strong posterior consistency in estimating the regression function, generalizing existing theory focused on parametric residual distributions. The homoscedastic priors are generalized to allow residual densities to change nonparametrically with predictors through incorporating GP in the stick-breaking components. This leads to a robust Bayesian regression procedure that automatically down-weights outliers and influential observations in a locally adaptive manner. The methods are illustrated using simulated and real data applications.

Keywords

Data augmentation Exact block Gibbs sampler Gaussian process Nonparametric regression Outliers Symmetrized probit stick-breaking process 

Notes

Acknowledgments

This research was partially supported by grant number R01 ES017240-01 from the National Institute of Environmental Health Sciences (NIEHS) of the National Institutes of Health (NIH). The authors would like to thank Prof. Taeryon Choi for helpful suggestions on the manuscript.

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Copyright information

© The Institute of Statistical Mathematics, Tokyo 2013

Authors and Affiliations

  1. 1.Department of StatisticsFlorida State UniversityTallahasseeUSA
  2. 2.Department of Statistical ScienceDuke UniversityDurhamUSA

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