Bernstein-von Mises theorems for functionals of the covariance matrix
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Abstract: We provide a general theoretical framework to derive Bernstein-von Mises theorems for matrix functionals. The conditions on functionals and priors are explicit and easy to check. Results are obtained for various functionals including entries of covariance matrix, entries of precision matrix, quadratic forms, log-determinant, eigenvalues in the Bayesian Gaussian covariance/precision matrix estimation setting, as well as for Bayesian linear and quadratic discriminant analysis.
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Cited in
(11)- Optimal Bayesian minimax rates for unconstrained large covariance matrices
- On frequentist coverage errors of Bayesian credible sets in moderately high dimensions
- How a probabilistic analogue of the mean value theorem yields stein-type covariance identities
- Bayesian linear regression for multivariate responses under group sparsity
- Estimating large precision matrices via modified Cholesky decomposition
- On Gaussian and Bernoulli covariance representations
- Asymptotically efficient estimation of smooth functionals of covariance operators
- Efficient estimation of linear functionals of principal components
- Bayesian inference for spectral projectors of the covariance matrix
- Functional generalizations of Hoeffding's covariance lemma and a formula for Kendall's tau
- Grüss-type bounds for the covariance of transformed random variables
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