Non-asymptotic Bayesian Minimax Adaptation

Abstract

This paper studies a Bayesian approach to non-asymptotic minimax adaptation in nonparametric estimation. Estimating an input function on the basis of output functions in a Gaussian white-noise model is discussed. The input function is assumed to be in a Sobolev ellipsoid with an unknown smoothness and an unknown radius. Our purpose in this paper is to present a Bayesian approach attaining minimaxity up to a universal constant without any knowledge regarding the smoothness and the radius. Our Bayesian approach provides not only a rate-exact minimax adaptive estimator in large sample asymptotics but also a risk bound for the Bayes estimator quantifying the effects of both the smoothness and the ratio of the squared radius to the noise variance, where the smoothness and the ratio are the key parameters to describe the minimax risk in this model. Application to non-parametric regression models is also discussed.