Posterior asymptotics in Wasserstein metrics on the real line

DOI10.1214/21-EJS1869MaRDI QIDQ2233550zbMATH OpenOpenAlexFDO

Authors Minwoo Chae, Pierpaolo De Blasi, Stephen G. Walker

Publication date 11 October 2021

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

Full work available at URL https://arxiv.org/abs/2003.05599, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-15/issue-2/Posterior-asymptotics-in-Wasserstein-metrics-on-the-real-line/10.1214/21-EJS1869.full

zbMATH Keywords

Dirichlet process mixturenonparametric Bayesian inferenceposterior consistencyposterior convergence rateWasserstein metrics

Mathematics Subject Classification ID

Bayesian inference (62F15) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Abstract: In this paper, we use the class of Wasserstein metrics to study asymptotic properties of posterior distributions. Our first goal is to provide sufficient conditions for posterior consistency. In addition to the well-known Schwartz's Kullback--Leibler condition on the prior, the true distribution and most probability measures in the support of the prior are required to possess moments up to an order which is determined by the order of the Wasserstein metric. We further investigate convergence rates of the posterior distributions for which we need stronger moment conditions. The required tail conditions are sharp in the sense that the posterior distribution may be inconsistent or contract slowly to the true distribution without these conditions. Our study involves techniques that build on recent advances on Wasserstein convergence of empirical measures. We apply the results to density estimation with a Dirichlet process mixture prior and conduct a simulation study for further illustration.

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Cited in

(7)

• On a prior based on the Wasserstein information matrix
• Adaptive Bayesian inference for current status data on a grid
• Distances between nested densities and a measure of the impact of the prior in Bayesian statistics
• Wasserstein upper bounds of L^p-norms for multivariate densities in Besov spaces
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• On reverse inequalities for Besov integral probability metrics between smooth densities
• Bayesian quantile estimation and regression with martingale posteriors

Describes a project that uses

Uses Software

• Wasserstein GAN

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