The semiparametric Bernstein-von Mises theorem

DOI10.1214/11-AOS921MaRDI QIDQ450029zbMATH OpenOpenAlexFDO

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

Publication date 3 September 2012

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

Full work available at URL https://arxiv.org/abs/1007.0179, https://projecteuclid.org/euclid.aos/1333029963

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)

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.

Recommendations

• The semi-parametric Bernstein-von Mises theorem for regression models with symmetric errors
• A semiparametric Bernstein-von Mises theorem for Gaussian process priors
• A Bernstein-von Mises theorem for smooth functionals in semiparametric models
• Finite sample Bernstein-von Mises theorem for semiparametric problems
• Nonasymptotic approach to Bayesian semiparametric inference

Cites work

• scientific article; zbMATH DE number 1631958 (Why is no real title available?)
• scientific article; zbMATH DE number 3124347 (Why is no real title available?)
• scientific article; zbMATH DE number 3911491 (Why is no real title available?)
• scientific article; zbMATH DE number 3633568 (Why is no real title available?)
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• scientific article; zbMATH DE number 1181283 (Why is no real title available?)
• scientific article; zbMATH DE number 3441440 (Why is no real title available?)
• scientific article; zbMATH DE number 3426635 (Why is no real title available?)
• scientific article; zbMATH DE number 3083069 (Why is no real title available?)
• scientific article; zbMATH DE number 3103824 (Why is no real title available?)
• A Bernstein-von Mises theorem for discrete probability distributions
• A Bernstein-von Mises theorem in the nonparametric right-censoring model
• A Correspondence Between Bayesian Estimation on Stochastic Processes and Smoothing by Splines
• A characterization of limiting distributions of regular estimates
• A semiparametric Bernstein-von Mises theorem for Gaussian process priors
• A two-stage spline smoothing method for partially linear models
• An analysis of Bayesian inference for nonparametric regression
• Approximation dans les espaces m�triques et th�orie de l'estimation
• Asymptotic Normality of Semiparametric and Nonparametric Posterior Distributions
• Asymptotic Statistics
• Asymptotic methods in statistical decision theory
• Asymptotics in statistics: some basic concepts
• Bernstein-von Mises theorem for linear functionals of the density
• Consistency of Bayes estimates for nonparametric regression: normal theory
• Convergence rates of posterior distributions.
• General frequentist properties of the posterior profile distribution
• Misspecification in infinite-dimensional Bayesian statistics
• On Bayes procedures
• On Profile Likelihood
• On the Asymptotic Behavior of Bayes' Estimates in the Discrete Case
• On the Bernstein-von Mises theorem with infinite-dimensional parameters
• On the consistency of Bayes estimates
• Penalized quasi-likelihood estimation in partial linear models
• Profile likelihood and conditionally parametric models
• Rates of contraction of posterior distributions based on Gaussian process priors
• Rates of convergence of posterior distributions.
• Semiparametric Bernstein-von Mises theorem and bias, illustrated with Gaussian process priors
• The Bernstein-von Mises theorem for the proportional hazard model
• The Bernstein-von Mises theorem under misspecification
• Variable Selection and Function Estimation in Additive Nonparametric Regression Using a Data-Based Prior
• Weak convergence and empirical processes. With applications to statistics

Cited in

(51)

• A Bernstein-von Mises theorem for smooth functionals in semiparametric models
• Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
• Asymptotic Normality of Semiparametric and Nonparametric Posterior Distributions
• The Bayesian analysis of complex, high-dimensional models: can it be CODA?
• The Bernstein-von Mises theorem in semiparametric competing risks models
• Adaptive Bayesian nonparametric regression using a kernel mixture of polynomials with application to partial linear models
• Weak convergence of posteriors conditional on maximum pseudo-likelihood estimates and implications in ABC
• Frequentist consistency of variational Bayes
• On some aspects of the asymptotic properties of Bayesian approaches in nonparametric and semiparametric models
• Empirical Bayes inference for the block maxima method
• Frequentist properties of Bayesian inequality tests
• Finite sample Bernstein-von Mises theorem for semiparametric problems
• Posterior asymptotics in Wasserstein metrics on the real line
• Bernstein-von Mises theorem for linear functionals of the density
• Bayesian inference for partially identified smooth convex models
• Construction of credible intervals for nonlinear regression models with unknown error distributions
• Bayesian manifold regression
• Bernstein-von Mises theorems for Gaussian regression with increasing number of regressors
• Efficient semiparametric estimation and model selection for multidimensional mixtures
• Criteria for posterior consistency and convergence at a rate
• scientific article; zbMATH DE number 7306861 (Why is no real title available?)
• An evaluation of alternative methods for testing hypotheses, from the perspective of Harold Jeffreys
• scientific article; zbMATH DE number 7415111 (Why is no real title available?)
• Continuous forcing spectrum of regular hexagonal polyhexes
• Bayesian fixed-domain asymptotics for covariance parameters in a Gaussian process model
• Gaussian Processes and Bayesian Moment Estimation
• Unified Bayesian theory of sparse linear regression with nuisance parameters
• High-dimensional Bernstein-von Mises theorem for the Diaconis-Ylvisaker prior
• Bayesian inference for spectral projectors of the covariance matrix
• Semiparametric Bayesian causal inference
• Simulation‐based estimators of analytically intractable causal effects
• Generalized Additive Models with Interval-Censored Data and Time-Varying Covariates: Application to Human Immunodeficiency Virus Infection in Hemophiliacs
• NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS
• Nonasymptotic approach to Bayesian semiparametric inference
• Bernshteĭn-von Mises theorems for nonparametric function analysis via locally constant modelling: a unified approach
• Semiparametric Bernstein-von Mises for the error standard deviation
• Bayesian variance estimation in the Gaussian sequence model with partial information on the means
• Fast rates for general unbounded loss functions: from ERM to generalized Bayes
• A tutorial on Fisher information
• scientific article; zbMATH DE number 5586077 (Why is no real title available?)
• Critical dimension in the semiparametric Bernstein-von Mises theorem
• Bayesian regression with heteroscedastic error density and parametric mean function
• Bayesian sieve method for piece-wise smooth regression
• Bayesian Projected Calibration of Computer Models
• Semiparametric Bernstein-von Mises theorem and bias, illustrated with Gaussian process priors
• Nonparametric Bernstein-von Mises theorems in Gaussian white noise
• A semiparametric Bernstein-von Mises theorem for Gaussian process priors
• Classical \(p\)-values and the Bayesian posterior probability that the hypothesis is approximately true
• On accuracy of Gaussian approximation in Bayesian semiparametric problems
• The semi-parametric Bernstein-von Mises theorem for regression models with symmetric errors
• Bayesian regression with nonparametric heteroskedasticity

This page was built for publication: The semiparametric Bernstein-von Mises theorem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q450029)