Regression with I-priors

The problem of estimating a parametric or nonparametric regression function in a model with normal errors is considered. For this purpose, a novel objective prior for the regression function is proposed, defined as the distribution maximizing entropy subject to a suitable constraint based on the Fisher information on the regression function. The prior is named I-prior. For the present model, it is Gaussian with covariance kernel proportional to the Fisher information, and mean chosen a priori (e.g., 0). The I-prior has the intuitively appealing property that the more information is available about a linear functional of the regression function, the larger its prior variance, and, broadly speaking, the less influential the prior is on the posterior. Unlike the Jeffreys prior, it can be used in high dimensional settings. The I-prior methodology can be used as a principled alternative to Tikhonov regularization, which suffers from well-known theoretical problems which are briefly reviewed. The regression function is assumed to lie in a reproducing kernel Hilbert space (RKHS) over a low or high dimensional covariate space, giving a high degree of generality. Analysis of some real data sets and a small-scale simulation study show competitive performance of the I-prior methodology, which is implemented in the R-package iprior.