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    Homework 4 Due Friday April 19 3:00 PM Submit A PDF File On Canvas

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    This document outlines 6 homework problems to be completed and submitted by Friday April 19 at 3:00 pm as a PDF file on Canvas. The problems cover topics such as directed graphs, Bayesian inference using Dirichlet process priors, parameter estimation in normal linear models, and minimax rates. Students are asked to find independence statements, conditional distributions, implied undirected graphs, coverage probabilities, posterior distributions, consistency of estimators, and values of hyperparameters to achieve minimax rates.

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    Homework 4 Due Friday April 19 3:00 PM Submit A PDF File On Canvas

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    This document outlines 6 homework problems to be completed and submitted by Friday April 19 at 3:00 pm as a PDF file on Canvas. The problems cover topics such as directed graphs, Bayesian inference using Dirichlet process priors, parameter estimation in normal linear models, and minimax rates. Students are asked to find independence statements, conditional distributions, implied undirected graphs, coverage probabilities, posterior distributions, consistency of estimators, and values of hyperparameters to achieve minimax rates.

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    This document outlines 6 homework problems to be completed and submitted by Friday April 19 at 3:00 pm as a PDF file on Canvas. The problems cover topics such as directed graphs, Bayesian inference using Dirichlet process priors, parameter estimation in normal linear models, and minimax rates. Students are asked to find independence statements, conditional distributions, implied undirected graphs, coverage probabilities, posterior distributions, consistency of estimators, and values of hyperparameters to achieve minimax rates.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    35 views2 pages

    Homework 4 Due Friday April 19 3:00 PM Submit A PDF File On Canvas

    Uploaded by

    S
    This document outlines 6 homework problems to be completed and submitted by Friday April 19 at 3:00 pm as a PDF file on Canvas. The problems cover topics such as directed graphs, Bayesian inference using Dirichlet process priors, parameter estimation in normal linear models, and minimax rates. Students are asked to find independence statements, conditional distributions, implied undirected graphs, coverage probabilities, posterior distributions, consistency of estimators, and values of hyperparameters to achieve minimax rates.

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    Homework 4

    Due Friday April 19 3:00 pm


    Submit a pdf file on Canvas

    1. Consider the directed graph with vertices V = {X1 , X2 , X3 , X4 , X5 } and edge set E =
    {(1, 3), (2, 3), (3, 4), (3, 5)}.
    (a) List all the independence statements implied by this graph.
    (b) Find the causal distribution p(x4 |set x3 = s).
    (c) Find the implied undirected graph for these random variables. Which independence
    statements get lost in the undirected graph (if any)?

    2. Let d ≥ 2, and let X1 , . . . , Xn ∼ P where Xi = (Xi (1), . . . , Xi (d)) ∈ Rd . Assume that


    the coordinates of Xi are independent. Further, assume that Xi (j) ∼ Bernoulli(pj )
    where 0 < c ≤ pj ≤ C < 1. Let P be all such distributions. Let

    Rn = inf sup EP ||b


    p − p||∞ .
    pb P ∈P

    Find lower and upper bounds on the minimax risk.

    3. Let {pθ : θ ∈ Θ} where Θ ⊂ R be a parametric model. Suppose that the model


    satisfies the usual regularity conditions. In particular, the Fisher information I(θ) is
    positive and smooth and the mle has the usual nice properties. Let the loss function
    be L(θ,b θ) = H(p b, pθ ) where H denotes Hellinger distance. Find the minimax rate.
    θ

    4. Let Y = (Y1 , . . . , Yd ) ∼ N (θ, I) where θ = (θ1 , . . . , θd ). Assume that θ ∈ Θ = {θ ∈ Rd :


    ||θ||0 ≤ 1}. Let
    Rd = inf sup Eθ ||θb − θ||2 .
    θb θ∈Θ

    Show that c log d ≤ Rd ≤ C log d for some constants c and C.

    5. Let X1 , . . . , Xn ∼ F where F is some distribution on R. Suppose we put a Dirichlet


    process prior on F :
    F ∼ DP(α, F0 ).

    (a) Recall the stick-breaking construction. Show that E( ∞


    P
    j=1 Wj ) = 1.
    (b) Simulate n = 10 data points from a N (0, 1). Try three values of α: namely, α = .1,
    α = 1 and α = 10. Compute the 95 percent Bayesian confidence band and the 95
    percent DKW band. Plot the results for one example. Now repeat the simulation
    1,000 times and report the coverage probability for each confidence band.

    6. For i = 1, . . . , n and j = 1, 2, . . . let

    Xij = θj + ij

    1
    wherePall the 0ij s are independent N(0,1). The parameter is θ = (θ1 , θ2 , . . . , ). Assume
    that j θj2 < ∞. Due to sufficiency, we can reduce the problem to the sample means.
    Thus let Yj = n−1 ni=1 Xij . So the model is Yj ∼ N (θj , 1/n) for j = 1, 2, 3 . . . We
    P
    will put a prior π on θ as follows. We take each θj to be independent and we take
    θj ∼ N (0, τj2 ).
    (a) Find the posterior for θ. Find the posterior mean θ.
    b
    P
    (b) Suppose that j τj2 < ∞. Show that θb is consistent, that is, ||θb − θ||2 → 0.
    P

    (c) Now suppose that θ is in the Sobolev ball


    ( )
    X
    Θ= θ = (θ1 , θ2 , . . .) : j 2p θj2 ≤ C 2
    j

    where p > 1/2. The minimax (for squared error loss) for this problem is Rn 
    n−2p/(2p+1) . Let τj2 = (1/j)2r . Find r so that the posterior mean achieves the min-
    imax rate.

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