Quasi-Bayesian analysis of nonparametric instrumental variables models

DOI10.1214/13-AOS1150zbMath1281.62120arXiv1204.2108MaRDI QIDQ2438756

Kengo Kato

Publication date: 6 March 2014

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

Full work available at URL: https://arxiv.org/abs/1204.2108

zbMATH Keywords

asymptotic normalityinverse problemsrates of contraction

Mathematics Subject Classification ID

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

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Bayes procedures for adaptive inference in inverse problems for the white noise model ⋮ Quasi-Bayesian analysis of nonparametric instrumental variables models ⋮ Some new asymptotic theory for least squares series: pointwise and uniform results ⋮ Bayesian inference for partially identified smooth convex models ⋮ On frequentist coverage errors of Bayesian credible sets in moderately high dimensions ⋮ Inference for large-scale linear systems with known coefficients ⋮ Semiparametric Bayes instrumental variable estimation with many weak instruments ⋮ On oracle property and asymptotic validity of Bayesian generalized method of moments ⋮ Bayesian inference using least median of squares and least trimmed squares in models with independent or correlated errors and outliers ⋮ Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions ⋮ Bayesian regression with nonparametric heteroskedasticity

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