Sta­ti­sti­cs/Fi­nan­ce Se­mi­nar with Mar­tin Rai­ner Bladt

Please join us for a Statistics/Finance Seminar with Martin Rainer Bladt, University of Copenhagen.

Martin will present: Bayesian non-parametric survival estimation: stochastic hyperparameter sequences and distribution splicing

Abstract

A Bayesian non-parametric framework for studying time-to-event data is proposed, where the prior distribution is allowed to depend on an additional random source, and may update with the sample size. Such scenarios are natural, for instance, when considering empirical Bayes techniques or dynamic expert information. In this context, a natural stochastic class for studying the cumulative hazard function are conditionally inhomogeneous independent increment processes with non-decreasing sample paths, also known as mixed time-inhomogeneous subordinators or mixed non-decreasing additive processes.
The asymptotic behaviour is studied by showing that Bayesian consistency and Bernstein-von Mises theorems may be recovered under suitable conditions on the asymptotic negligibility of the stochastic prior sequences. The non-asymptotic behaviour of the posterior is also considered. Namely, upon conditioning, an efficient and exact simulation algorithm for the paths of the Beta Lévy process is provided. As a natural application, it is shown how the model can provide an appropriate definition of non-parametric spliced models. Spliced models target data where an accurate global description of both the body and tail of the distribution is desirable. The Bayesian non-parametric nature of the proposed estimators can offer conceptual and numerical alternatives to their parametric counterparts. 

Link to paper: https://arxiv.org/abs/2505.01604