Concentration rate and consistency of the posterior distribution for selected priors under monotonicity constraints

DOI10.1214/14-EJS929zbMATH Open1298.62064arXiv1301.1898OpenAlexW3101103866MaRDI QIDQ405362FDOQ405362

Authors: J.-B. Salomond 

Publication date: 5 September 2014

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

Abstract: In this paper, we consider the well known problem of estimating a density function under qualitative assumptions. More precisely, we estimate monotone non increasing densities in a Bayesian setting and derive concentration rate for the posterior distribution for a Dirichlet process and finite mixture prior. We prove that the posterior distribution based on both priors concentrates at the rate $(n/log(n){)}^{-1/3}$, which is the minimax rate of estimation up to a log(n)$ factor. We also study the behaviour of the posterior for the point-wise loss at any fixed point of the support the density and for the sup norm. We prove that the posterior is consistent for both losses.

Full work available at URL: https://arxiv.org/abs/1301.1898

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zbMATH Keywords

Bayesian inferencedensity estimationconcentration rate

Mathematics Subject Classification ID

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

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Cited In (15)

• Rejoinder to discussions of ``Frequentist coverage of adaptive nonparametric Bayesian credible sets
• Coverage of credible intervals in Bayesian multivariate isotonic regression
• A Bayesian nonparametric approach to log-concave density estimation
• Nonparametric Bayesian analysis of the compound Poisson prior for support boundary recovery
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• Discussion of ``Frequentist coverage of adaptive nonparametric Bayesian credible sets
• On nonparametric estimation for cross-sectional sampled data under stationarity
• Bayesian estimation of a decreasing density
• Data-driven priors and their posterior concentration rates

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