Bayesian density estimation

MaRDI QIDQ1126816zbMATH OpenFDO

Authors Jayanta K. Ghosh

Publication date 5 August 1998

Published in Documenta Mathematica (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/228193, http://www.emis.de/journals/DMJDMV/xvol-icm/12/Ghosh.MAN.html

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zbMATH Keywords

Bayesian nonparametricsdensity estimationDirichlet mixturesposterior consistencysemiparametrics

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Density estimation (62G07) Nonparametric inference (62G99)

Review text

We describe popular methods of Bayesian density estimation and explore sufficient conditions for the posterior given data to converge to a true underlying distribution \(P_0\) as the data size increases. One of the advantages of Bayesian density estimates is that, unlike classical frequentist methods, choice of the right amount of smoothing is not such a serious problem. Section 2 provides a general background to infinite dimensional problems of inference such as Bayesian nonparametrics, semiparametrics and density estimation. Bayesian nonparametrics has been around for about twenty five years but the other two areas, specially the last, is of more recent vintage. Section 3 indicates in broad terms why different tools are needed for these three different problems and then Section 4 focuses on our main problem of interest, namely, positive posterior consistency results for Bayesian density estimation.

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