Posterior asymptotics of nonparametric location-scale mixtures for multivariate density estimation

DOI10.3150/15-BEJ746MaRDI QIDQ502874zbMATH OpenFDO

Authors Pierpaolo De Blasi, Antonio Canale

Publication date 11 January 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.2671, https://projecteuclid.org/euclid.bj/1475001358

zbMATH Keywords

Bayesian nonparametricsdensity estimationfactor modelposterior asymptoticsDirichlet mixturesparse random eigenmatrices

Mathematics Subject Classification ID

Bayesian inference (62F15) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

Abstract: Density estimation represents one of the most successful applications of Bayesian nonparametrics. In particular, Dirichlet process mixtures of normals are the gold standard for density estimation and their asymptotic properties have been studied extensively, especially in the univariate case. However a gap between practitioners and the current theoretical literature is present. So far, posterior asymptotic results in the multivariate case are available only for location mixtures of Gaussian kernels with independent prior on the common covariance matrix, while in practice as well as from a conceptual point of view a location-scale mixture is often preferable. In this paper we address posterior consistency for such general mixture models by adapting a convergence rate result which combines the usual low-entropy, high-mass sieve approach with a suitable summability condition. Specifically, we establish consistency for Dirichlet process mixtures of Gaussian kernels with various prior specifications on the covariance matrix. Posterior convergence rates are also discussed.

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