Rates of contraction for posterior distributions in L^r-metrics, 1 r

DOI10.1214/11-AOS924zbMATH Open1246.62095arXiv1203.2043MaRDI QIDQ449972FDOQ449972

Evarist Giné, Richard Nickl

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: The frequentist behavior of nonparametric Bayes estimates, more specifically, rates of contraction of the posterior distributions to shrinking $L^r$-norm neighborhoods, $1lerleinfty$, of the unknown parameter, are studied. A theorem for nonparametric density estimation is proved under general approximation-theoretic assumptions on the prior. The result is applied to a variety of common examples, including Gaussian process, wavelet series, normal mixture and histogram priors. The rates of contraction are minimax-optimal for $1lerle2$, but deteriorate as $r$ increases beyond 2. In the case of Gaussian nonparametric regression a Gaussian prior is devised for which the posterior contracts at the optimal rate in all $L^r$-norms, $1lerleinfty$.

Full work available at URL: https://arxiv.org/abs/1203.2043

Recommendations

• Rates of contraction of posterior distributions based on \(p\)-exponential priors
• On rates of convergence for posterior distributions in infinite-dimensional models
• Posterior contraction rates of density derivative estimation
• scientific article
• Rates of contraction of posterior distributions based on Gaussian process priors
• Weak convergence and the exponential rate of concentration for posterior density functions
• A note on convergence rates for posterior distributions via large deviations techniques
• ON CONVERGENCE RATES FOR NONPARAMETRIC POSTERIOR DISTRIBUTIONS

zbMATH Keywords

nonparametric hypothesis testing

Mathematics Subject Classification ID

Bayesian inference (62F15) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• Rates of strong uniform consistency for multivariate kernel density estimators. (Vitesse de convergence uniforme presque sûre pour des estimateurs à noyaux de densités multivariées)
• Entropies and rates of convergence for maximum likelihood and Bayes estimation for mixtures of normal densities.
• Towards a practicable Bayesian nonparametric density estimator
• Title not available (Why is that?)
• New concentration inequalities in product spaces
• Adaptive Bayesian estimation using a Gaussian random field with inverse gamma bandwidth
• Convergence rates of posterior distributions for non iid observations
• Asymptotic methods in statistical decision theory
• Convergence rates of posterior distributions.
• Wavelets on the interval and fast wavelet transforms
• A semiparametric Bernstein-von Mises theorem for Gaussian process priors
• Approximation dans les espaces m�triques et th�orie de l'estimation
• Bayesian aspects of some nonparametric problems
• The Brunn-Minkowski inequality in Gauss space
• Asymptotically minimax hypothesis testing for nonparametric alternatives. I
• Wavelets, approximation, and statistical applications
• Posterior consistency of Dirichlet mixtures in density estimation
• Rates of convergence of posterior distributions.
• Title not available (Why is that?)
• On the small balls problem for equivalent Gaussian measures
• Uniform limit theorems for wavelet density estimators
• Rates of contraction of posterior distributions based on Gaussian process priors
• Posterior convergence rates of Dirichlet mixtures at smooth densities
• The consistency of posterior distributions in nonparametric problems
• Existence of small ball constants for fractional Brownian motions
• On Bayes procedures
• Adaptation on the space of finite signed measures
• Rates of contraction for posterior distributions in \(L^{r}\)-metrics, \(1 \leq r \leq \infty\)
• Donsker-type theorems for nonparametric maximum likelihood estimators
• Title not available (Why is that?)
• Quelques espaces fonctionnels associés à des processus gaussiens
• Global uniform risk bounds for wavelet deconvolution estimators
• On local \(U\)-statistic processes and the estimation of densities of functions of several sample variables
• On Rates of Convergence for Bayesian Density Estimation

Cited In (53)

• Adaptive rates of contraction of posterior distributions in Bayesian wavelet regression
• Nonparametric Bayesian inference for reversible multidimensional diffusions
• Bayesian inverse problems with non-conjugate priors
• Rates of contraction with respect to \(L_2\)-distance for Bayesian nonparametric regression
• On some aspects of the asymptotic properties of Bayesian approaches in nonparametric and semiparametric models
• Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data
• Pólya tree posterior distributions on densities
• Bernstein-von Mises theorems for statistical inverse problems. I: Schrödinger equation
• On statistical Calderón problems
• Bayesian manifold regression
• Borrowing strengh in hierarchical Bayes: posterior concentration of the Dirichlet base measure
• Rates of contraction of posterior distributions based on Gaussian process priors
• Rates of contraction for posterior distributions in \(L^{r}\)-metrics, \(1 \leq r \leq \infty\)
• A Bayesian nonparametric approach to log-concave density estimation
• Posterior contraction and credible regions for level sets
• On adaptive posterior concentration rates
• On frequentist coverage errors of Bayesian credible sets in moderately high dimensions
• Supremum norm posterior contraction and credible sets for nonparametric multivariate regression
• Bayesian consistency with the supremum metric
• Posterior consistency for the spectral density of non‐Gaussian stationary time series
• Multiresolution analysis and adaptive estimation on a sphere using stereographic wavelets
• Bernstein-von Mises theorems for statistical inverse problems. II: Compound Poisson processes
• Posterior contraction in sparse Bayesian factor models for massive covariance matrices
• Bayes and maximum likelihood for \(L^1\)-Wasserstein deconvolution of Laplace mixtures
• ON CONVERGENCE RATES FOR NONPARAMETRIC POSTERIOR DISTRIBUTIONS
• Adaptive Bayesian density estimation in \(L^p\)-metrics with Pitman-Yor or normalized inverse-Gaussian process kernel mixtures
• Posterior convergence for Bayesian functional linear regression
• Besov-Laplace priors in density estimation: optimal posterior contraction rates and adaptation
• Variable selection in panel models with breaks
• Bayesian quantile estimation in deconvolution
• Posterior contraction rates for the Bayesian approach to linear ill-posed inverse problems
• Posterior contraction and credible sets for filaments of regression functions
• Quasi-Bayesian analysis of nonparametric instrumental variables models
• Bayesian adaptation
• Semiparametric Bayesian causal inference
• Adaptive confidence sets in \(L^2\)
• Honest and adaptive confidence sets in \(L_p\)
• Optional Pólya trees: posterior rates and uncertainty quantification
• Posterior contraction rates of density derivative estimation
• Bayesian sieve methods: approximation rates and adaptive posterior contraction rates
• Discussion of ``Frequentist coverage of adaptive nonparametric Bayesian credible sets
• Rates of contraction of posterior distributions based on \(p\)-exponential priors
• Uncertainty quantification for Bayesian CART
• Adaptive Bayesian density estimation in sup-norm
• Semiparametric Bernstein-von Mises theorem and bias, illustrated with Gaussian process priors
• Nonparametric Bernstein-von Mises theorems in Gaussian white noise
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
• Posterior contraction rates for support boundary recovery
• Bayesian inverse problems with unknown operators
• Consistent inference for diffusions from low frequency measurements
• Bayesian regression with nonparametric heteroskedasticity
• Wasserstein convergence in Bayesian and frequentist deconvolution models
• Heavy-tailed Bayesian nonparametric adaptation

This page was built for publication: Rates of contraction for posterior distributions in \(L^{r}\)-metrics, \(1 \leq r \leq \infty\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q449972)