Rates of contraction of posterior distributions based on Gaussian process priors

A.W. van der Vaart, J.H. van Zanten

Research output: Contribution to JournalArticleAcademicpeer-review

266 Downloads (Pure)


We derive rates of contraction of posterior distributions on nonparametric or semiparametric models based on Gaussian processes. The rate of contraction is shown to depend on the position of the true parameter relative to the reproducing kernel Hilbert space of the Gaussian process and the small ball probabilities of the Gaussian process. We determine these quantities for a range of examples of Gaussian priors and in several statistical settings. For instance, we consider the rate of contraction of the posterior distribution based on sampling from a smooth density model when the prior models the log density as a (fractionally integrated) Brownian motion. We also consider regression with Gaussian errors and smooth classification under a logistic or probit link function combined with various priors. © Institute of Mathematical Statistics, 2008.
Original languageEnglish
Pages (from-to)1435-1463
Number of pages29
JournalAnnals of Statistics
Issue number3
Publication statusPublished - 2008


Dive into the research topics of 'Rates of contraction of posterior distributions based on Gaussian process priors'. Together they form a unique fingerprint.

Cite this