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
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- Empirical Bayes scaling of Gaussian priors in the white noise model
- Posterior rates of convergence for Dirichlet mixtures of exponential power densities
- Rates of contraction with respect to \(L_2\)-distance for Bayesian nonparametric regression
- Heavy-tailed Bayesian nonparametric adaptation
- Anisotropic function estimation using multi-bandwidth Gaussian processes
- Quasi-Bayesian analysis of nonparametric instrumental variables models
- Density estimation in infinite dimensional exponential families
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- A universal prior distribution for Bayesian consistency of non parametric procedures
- Posterior concentration rates for infinite dimensional exponential families
- Bayes and maximum likelihood for \(L^1\)-Wasserstein deconvolution of Laplace mixtures
- Bayesian regression with nonparametric heteroskedasticity
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