I present a very simple example in which a full-support prior over distribution functions has an inconsistent posterior, which I believe has instructive value. The example is $Y_i \stackrel{\text{iid}}{\sim} P_0$ under the Bayesian hierarchical model $[Y_i \mid P] \stackrel{\text{iid}}{\sim} P$ and $P \sim \int \mbox{DP}(\alpha, H) \, \pi_\alpha(\alpha) \ d\alpha$ when $\pi_\alpha(\cdot)$ has exponential (or heavier) tails, where $\mbox{DP}(\alpha, H)$ denotes a Dirichlet process with concentration parameter $\alpha$ and mean $H(\cdot)$; on the other hand, consistency is obtained under a light-tailed prior. This unifies and generalizes a consistency result of Freedman and Diaconis (1983) with an inconsistency result described by Ferguson et al. (1992).
Consider the $\mathbb Z_2$ synchronization problem \[ \boldsymbol{Y} = \frac{\lambda}{\sqrt n} \theta\theta^{\top} + \boldsymbol{Z}, \] where $\theta$ is uniform on $\{-1,1\}^n$ and $\boldsymbol{Z}$ is an independent Gaussian Wigner matrix with off-diagonal variance one. We give a polynomial-time posterior sampling alg...
We study deterministic and randomized midpoint discretizations of Langevin dynamics for a target $\pi \propto e^{-V}$, where $0 \prec \alpha I\preceq\nabla^2V\preceq\beta I$ and $\kappa=\beta/\alpha$. To achieve $\sqrt\alpha\,W_2\leqslant\varepsilon$, we show that deterministic Heun uses at most $\widetilde O(\kappa^{4...
Fan Chen, Sinho Chewi, Jian-Feng Lu et al.· 0 citations
We study online convex optimization with one unbiased stochastic subgradient per round and an unknown finite conditional $p$th noise moment, $1<p\le2$. For every fixed interval $I$ of length $n$ and comparator path with $\Lambda_I=1+P_I/D$, one learner achieves \[ E[Regret_I(u)]\le\min(GDn, C[GD\sqrt{n(\Lambda_I+\log^2...
We study finite-sample valid tests of the one-sided mean hypothesis $H_0:\mu\leq 1$ against $H_1:\mu>1$ for nonnegative random variables. To do so, we develop a leave-one-out dual certificate framework, where certain pointwise inequalities imply p-value validity under the conditional mean null $\mathbb{E}[X_i\mid\mathb...
Statistical precision and scientific relevance operate on different scales. In regular problems, sampling uncertainty contracts at rate $n^{-1/2}$, whereas the magnitude below which an effect is scientifically negligible may be fixed or may vary with information. Let $\Delta_n$ denote a relevance threshold and $I_0$ Fi...
Let \(\{Z_n\}_{n\geq0}\) be a supercritical branching random walk with deterministic rooted \(b\)-ary tree, \(b\geq2\), and symmetric displacements satisfying \(\lim_{x\to+\infty}x^{-\alpha}\log\Pp(X>x)=-\lambda \) with \(\alpha,\lambda>0\). Set $\overline Z_n(\cdot):=Z_n(\cdot)/Z_n(\mathbb{R}),~n\geq0.$ For a finite u...
Shu-Xiong Zhang, Ya-Ping Zhu· 0 citations
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