Convergence rates for posterior distributions and adaptive estimation

DOI10.1214/009053604000000490zbMath1095.62055arXivmath/0410087OpenAlexW2091157696MaRDI QIDQ1879965

Tzee-Ming Huang

Publication date: 15 September 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: The goal of this paper is to provide theorems on convergence rates of posterior distributions that can be applied to obtain good convergence rates in the context of density estimation as well as regression. We show how to choose priors so that the posterior distributions converge at the optimal rate without prior knowledge of the degree of smoothness of the density function or the regression function to be estimated.

Full work available at URL: https://arxiv.org/abs/math/0410087

zbMATH Keywords

convergence rateadaptive estimationsieves

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Bayesian inference (62F15)

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