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math.ST2026
Horseshoe Priors and MDP
Nick Polson, Vadim Sokolov, Daniel Zantedeschi
Carvalho (2010) established two foundational theorems for the horseshoe prior: tight two-sided logarithmic bounds on the marginal density near the origin (Theorem~1.1), and a super…
math.ST2026
A New Look at Bayesian Testing
Jyotishka Datta, Nicholas G. Polson, Vadim Sokolov +1
We identify the critical deviation scale governing Bayesian evidence accumulation in regular parametric testing. Under integrated Bayes risk with zero-one loss, the risk-optimal re…
math.ST2026
Bayes Risk for Goodness of Fit Tests
Nicholas G. Polson, Vadim Sokolov, Daniel Zantedeschi
We develop a unified framework for goodness-of-fit (GOF) testing through the lens of Bayes risk. Classical GOF procedures are commonly calibrated either at fixed significance level…