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

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

Authors J.-B. Salomond 

Publication date 5 September 2014

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

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

zbMATH Keywords

Bayesian inferencedensity estimationconcentration rate

Mathematics Subject Classification ID

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

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.

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Cited In (16)

• Rejoinder to discussions of ``Frequentist coverage of adaptive nonparametric Bayesian credible sets
• Coverage of credible intervals in Bayesian multivariate isotonic regression
• Posterior concentration rates for counting processes with Aalen multiplicative intensities
• A Bayesian nonparametric approach to log-concave density estimation
• Nonparametric Bayesian analysis of the compound Poisson prior for support boundary recovery
• Rates and coverage for monotone densities using projection-posterior
• Wasserstein convergence in Bayesian and frequentist deconvolution models
• Convergence rates for Bayesian estimation and testing in monotone regression
• mBART: multidimensional monotone BART
• Empirical priors and posterior concentration rates for a monotone density
• Empirical priors and coverage of posterior credible sets in a sparse normal mean model
• Revisiting consistency of a recursive estimator of mixing distributions
• 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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