Frequentist coverage and sup-norm convergence rate in Gaussian process regression
This provides theoretical guarantees for practitioners using Gaussian process regression, addressing a long-standing issue in optimal supremum norm contraction rates, though it is incremental in nature.
The paper tackles the problem of understanding frequentist coverage of Bayesian credible sets in Gaussian process regression, showing that inference tends to be conservative and that under-smoothed priors yield minimax-optimal sizes with coverage converging between the nominal level and one.
Gaussian process (GP) regression is a powerful interpolation technique due to its flexibility in capturing non-linearity. In this paper, we provide a general framework for understanding the frequentist coverage of point-wise and simultaneous Bayesian credible sets in GP regression. As an intermediate result, we develop a Bernstein von-Mises type result under supremum norm in random design GP regression. Identifying both the mean and covariance function of the posterior distribution of the Gaussian process as regularized $M$-estimators, we show that the sampling distribution of the posterior mean function and the centered posterior distribution can be respectively approximated by two population level GPs. By developing a comparison inequality between two GPs, we provide exact characterization of frequentist coverage probabilities of Bayesian point-wise credible intervals and simultaneous credible bands of the regression function. Our results show that inference based on GP regression tends to be conservative; when the prior is under-smoothed, the resulting credible intervals and bands have minimax-optimal sizes, with their frequentist coverage converging to a non-degenerate value between their nominal level and one. As a byproduct of our theory, we show that the GP regression also yields minimax-optimal posterior contraction rate relative to the supremum norm, which provides a positive evidence to the long standing problem on optimal supremum norm contraction rate in GP regression.