The Bayes Lepski's Method and Credible Bands through Volume of Tubular Neighborhoods

Abstract

For a general class of priors based on random series basis expansion, we develop the Bayes Lepski's method to estimate unknown regression function. In this approach, the series truncation point is determined based on a stopping rule that balances the posterior mean bias and the posterior standard deviation. Equipped with this mechanism, we present a method to construct adaptive Bayesian credible bands, where this statistical task is reformulated into a problem in geometry, and the band's radius is computed based on finding the volume of certain tubular neighborhood embedded on a unit sphere. We consider two special cases involving B-splines and wavelets, and discuss some interesting consequences such as the uncertainty principle and self-similarity. Lastly, we show how to program the Bayes Lepski stopping rule on a computer, and numerical simulations in conjunction with our theoretical investigations concur that this is a promising Bayesian uncertainty quantification procedure.