Posterior consistency of nonparametric conditional moment restricted models

DOI10.1214/11-AOS930zbMATH Open1246.62087arXiv1105.4847MaRDI QIDQ449980FDOQ449980

Authors: Wenxin Jiang, Yuan Liao 

Publication date: 3 September 2012

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

Abstract: This paper addresses the estimation of the nonparametric conditional moment restricted model that involves an infinite-dimensional parameter $g_0$. We estimate it in a quasi-Bayesian way, based on the limited information likelihood, and investigate the impact of three types of priors on the posterior consistency: (i) truncated prior (priors supported on a bounded set), (ii) thin-tail prior (a prior that has very thin tail outside a growing bounded set) and (iii) normal prior with nonshrinking variance. In addition, $g_0$ is allowed to be only partially identified in the frequentist sense, and the parameter space does not need to be compact. The posterior is regularized using a slowly growing sieve dimension, and it is shown that the posterior converges to any small neighborhood of the identified region. We then apply our results to the nonparametric instrumental regression model. Finally, the posterior consistency using a random sieve dimension parameter is studied.

Full work available at URL: https://arxiv.org/abs/1105.4847

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zbMATH Keywords

Bayesian inferenceregularizationill-posed problempartial identificationshrinkage prioridentified regionlimited information likelihoodnonparametric instrumental variablesieve approximation

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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Cited In (8)

• On oracle property and asymptotic validity of Bayesian generalized method of moments
• Posterior consistency of nonparametric conditional moment restricted models
• Gaussian Processes and Bayesian Moment Estimation
• Robust and optimal estimation for partially linear instrumental variables models with partial identification
• Quasi-Bayesian analysis of nonparametric instrumental variables models
• Semiparametric Bayes instrumental variable estimation with many weak instruments
• What are the limits of posterior distributions arising from nonidentified models, and why should we care?
• Regularizing priors for linear inverse problems

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