Bayesian high-dimensional semi-parametric inference beyond sub-Gaussian errors

DOI10.1007/S42952-020-00091-4zbMATH Open1485.62089arXiv2008.13174OpenAlexW3103891705WikidataQ116034598 ScholiaQ116034598MaRDI QIDQ2132004FDOQ2132004

Lizhen Lin, Minwoo Chae, Kyoungjae Lee

Publication date: 27 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Abstract: We consider a sparse linear regression model with unknown symmetric error under the high-dimensional setting. The true error distribution is assumed to belong to the locally $$-H"{o}lder class with an exponentially decreasing tail, which does not need to be sub-Gaussian. We obtain posterior convergence rates of the regression coefficient and the error density, which are nearly optimal and adaptive to the unknown sparsity level. Furthermore, we derive the semi-parametric Bernstein-von Mises (BvM) theorem to characterize asymptotic shape of the marginal posterior for regression coefficients. Under the sub-Gaussianity assumption on the true score function, strong model selection consistency for regression coefficients are also obtained, which eventually asserts the frequentist's validity of credible sets.

Full work available at URL: https://arxiv.org/abs/2008.13174

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zbMATH Keywords

Bernstein-von Mises theoremposterior convergence ratehigh-dimensional semiparametric modelstrong model selection consistency

Mathematics Subject Classification ID

Bayesian inference (62F15) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

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Cited In (3)

• Approximating posteriors with high-dimensional nuisance parameters via integrated rotated Gaussian approximation
• Adaptive variational Bayes: optimality, computation and applications
• Strong replica symmetry in high-dimensional optimal Bayesian inference

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