Adaptive density estimation based on a mixture of gammas

DOI10.1214/17-EJS1247MaRDI QIDQ521332zbMATH OpenFDO

Authors Natalia Bochkina, Judith Rousseau

Publication date 7 April 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.08467, https://projecteuclid.org/euclid.ejs/1490688318

zbMATH Keywords

density estimationDirichlet processadaptive estimationrate of contractionBayesian nonparametric estimationmixture priorunbounded densitylocal Hölder class

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Abstract: We consider the problem of Bayesian density estimation on the positive semiline for possibly unbounded densities. We propose a hierarchical Bayesian estimator based on the gamma mixture prior which can be viewed as a location mixture. We study convergence rates of Bayesian density estimators based on such mixtures. We construct approximations of the local H"older densities, and of their extension to unbounded densities, to be continuous mixtures of gamma distributions, leading to approximations of such densities by finite mixtures. These results are then used to derive posterior concentration rates, with priors based on these mixture models. The rates are minimax (up to a log n term) and since the priors are independent of the smoothness the rates are adaptive to the smoothness.

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