Convergence rates for Bayesian density estimation of infinite-dimensional exponential families
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Publication:2373583
Abstract: We study the rate of convergence of posterior distributions in density estimation problems for log-densities in periodic Sobolev classes characterized by a smoothness parameter p. The posterior expected density provides a nonparametric estimation procedure attaining the optimal minimax rate of convergence under Hellinger loss if the posterior distribution achieves the optimal rate over certain uniformity classes. A prior on the density class of interest is induced by a prior on the coefficients of the trigonometric series expansion of the log-density. We show that when p is known, the posterior distribution of a Gaussian prior achieves the optimal rate provided the prior variances die off sufficiently rapidly. For a mixture of normal distributions, the mixing weights on the dimension of the exponential family are assumed to be bounded below by an exponentially decreasing sequence. To avoid the use of infinite bases, we develop priors that cut off the series at a sample-size-dependent truncation point. When the degree of smoothness is unknown, a finite mixture of normal priors indexed by the smoothness parameter, which is also assigned a prior, produces the best rate. A rate-adaptive estimator is derived.
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Cited in
(31)- Rates of Convergence for a Bayesian Level Set Estimation
- Rates of contraction with respect to \(L_2\)-distance for Bayesian nonparametric regression
- On Rates of Convergence for Bayesian Density Estimation
- Convergence rates of nonparametric posterior distributions
- Comparing two populations using Bayesian Fourier series density estimation
- Bernstein-von Mises theorem for linear functionals of the density
- Construction of credible intervals for nonlinear regression models with unknown error distributions
- Density estimation in infinite dimensional exponential families
- Anisotropic function estimation using multi-bandwidth Gaussian processes
- Rate exact Bayesian adaptation with modified block priors
- Adaptive Bayesian inference on the mean of an infinite-dimensional normal distribution
- Adaptive Bayesian estimation of conditional densities
- Bayes and maximum likelihood for \(L^1\)-Wasserstein deconvolution of Laplace mixtures
- Oracle posterior contraction rates under hierarchical priors
- Adaptive Bayesian density estimation with location-scale mixtures
- Empirical Bayes scaling of Gaussian priors in the white noise model
- Posterior rates of convergence for Dirichlet mixtures of exponential power densities
- Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity
- Posterior concentration rates for infinite dimensional exponential families
- Heavy-tailed Bayesian nonparametric adaptation
- A universal prior distribution for Bayesian consistency of non parametric procedures
- Adaptive Bayesian inference in the Gaussian sequence model using exponential-variance priors
- Bayesian adaptation
- Quasi-Bayesian analysis of nonparametric instrumental variables models
- Adaptive Bayesian procedures using random series priors
- Bayesian optimal adaptive estimation using a sieve prior
- Bayesian sieve methods: approximation rates and adaptive posterior contraction rates
- Hierarchical Bayesian modeling of marked non-homogeneous Poisson processes with finite mixtures and inclusion of covariate information
- \(L^\infty\) metric criteria for convergence in Bayesian recursive inference systems
- sppmix: Poisson point process modeling using normal mixture models
- Bayesian regression with nonparametric heteroskedasticity
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