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Approximation of Bayesian models for time-to-event data. (English) Zbl 1448.62043
Summary: Random measures are the key ingredient for effective nonparametric Bayesian modeling of time-to-event data. This paper focuses on priors for the hazard rate function, a popular choice being the kernel mixture with respect to a gamma random measure. Sampling schemes are usually based on approximations of the underlying random measure, both a priori and conditionally on the data. Our main goal is the quantification of approximation errors through the Wasserstein distance. Though easy to simulate, the Wasserstein distance is generally difficult to evaluate, making tractable and informative bounds essential. Here we accomplish this task on the wider class of completely random measures, yielding a measure of discrepancy between many noteworthy random measures, including the gamma, generalized gamma and beta families. By specializing these results to gamma kernel mixtures, we achieve upper and lower bounds for the Wasserstein distance between hazard rates, cumulative hazard rates and survival functions.
MSC:
62G07 Density estimation
62N05 Reliability and life testing
62M40 Random fields; image analysis
60G60 Random fields
60A10 Probabilistic measure theory
Software:
POT
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References:
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