Asymptotic behaviour of the empirical Bayes posteriors associated to maximum marginal likelihood estimator

DOI10.1214/16-AOS1469MaRDI QIDQ2012208zbMATH OpenFDO

Authors Judith Rousseau, Botond Szabó

Publication date 28 July 2017

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

Full work available at URL https://arxiv.org/abs/1504.04814

zbMATH Keywords

density estimationnonparametric regressionadaptationempirical BayesGaussian priorhierarchical Bayesmaximum marginal likelihood estimatorposterior contraction ratestruncation prior

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Abstract: We consider the asymptotic behaviour of the marginal maximum likelihood empirical Bayes posterior distribution in general setting. First we characterize the set where the maximum marginal likelihood estimator is located with high probability. Then we provide oracle type of upper and lower bounds for the contraction rates of the empirical Bayes posterior. We also show that the hierarchical Bayes posterior achieves the same contraction rate as the maximum marginal likelihood empirical Bayes posterior. We demonstrate the applicability of our general results for various models and prior distributions by deriving upper and lower bounds for the contraction rates of the corresponding empirical and hierarchical Bayes posterior distributions.

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