Year: 2021
Type: preprint
Abstract: We introduce a comprehensive Bayesian multivariate predictive inference framework. The basis for our framework is a hierarchical Bayesian model, that is a mixture of finite Polya trees corresponding to multiple dyadic partitions of the unit cube. Given a sample of observations from an unknown multivariate distribution, the posterior predictive distribution is used to model and generate future observations from the unknown distribution. We illustrate the implementation of our methodology and study its performance on simulated examples. We introduce an algorithm for constructing conformal prediction sets, that provide finite sample probability assurances for future observations, with our Bayesian model.
Source: arXiv (Cornell University)
Author: Yekutieli, Daniel
Language: English
Subfield: Artificial Intelligence
Field: Computer Science
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W3207325412