The semiparametric Bernstein-von Mises theorem

DOI10.1214/11-AOS921zbMATH Open1246.62081arXiv1007.0179OpenAlexW3104226966MaRDI QIDQ450029FDOQ450029

Authors: B. J. K. Kleijn, P. J. Bickel 

Publication date: 3 September 2012

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

Abstract: In a smooth semiparametric estimation problem, the marginal posterior for the parameter of interest is expected to be asymptotically normal and satisfy frequentist criteria of optimality if the model is endowed with a suitable prior. It is shown that, under certain straightforward and interpretable conditions, the assertion of Le Cam's acclaimed, but strictly parametric, Bernstein-von Mises theorem [Univ. California Publ. Statist. 1 (1953) 277-329] holds in the semiparametric situation as well. As a consequence, Bayesian point-estimators achieve efficiency, for example, in the sense of H'{a}jek's convolution theorem [Z. Wahrsch. Verw. Gebiete 14 (1970) 323-330]. The model is required to satisfy differentiability and metric entropy conditions, while the nuisance prior must assign nonzero mass to certain Kullback-Leibler neighborhoods [Ghosal, Ghosh and van der Vaart Ann. Statist. 28 (2000) 500-531]. In addition, the marginal posterior is required to converge at parametric rate, which appears to be the most stringent condition in examples. The results are applied to estimation of the linear coefficient in partial linear regression, with a Gaussian prior on a smoothness class for the nuisance.

Full work available at URL: https://arxiv.org/abs/1007.0179

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zbMATH Keywords

efficiencyasymptotic posterior normalitylocal asymptotic normalitymodel differentiabilityposterior limit distributionregular estimationsemiparametric statistics

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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