The semi-parametric Bernstein-von Mises theorem for regression models with symmetric errors

DOI10.5705/SS.202017.0074zbMATH Open1432.62202arXiv1607.04367OpenAlexW3098907311MaRDI QIDQ5226643FDOQ5226643

Authors: Minwoo Chae, Yongdai Kim, B. J. K. Kleijn 

Publication date: 1 August 2019

Published in: STATISTICA SINICA (Search for Journal in Brave)

Abstract: In a smooth semi-parametric model, the marginal posterior distribution for a finite dimensional parameter of interest is expected to be asymptotically equivalent to the sampling distribution of any efficient point-estimator. The assertion leads to asymptotic equivalence of credible and confidence sets for the parameter of interest and is known as the semi-parametric Bernstein-von Mises theorem. In recent years, it has received much attention and has been applied in many examples. We consider models in which errors with symmetric densities play a role; more specifically, it is shown that the marginal posterior distributions of regression coefficients in the linear regression and linear mixed effect models satisfy the semi-parametric Bernstein-von Mises assertion. As a consequence, Bayes estimators in these models achieve frequentist inferential optimality, as expressed e.g. through Hajek's convolution and asymptotic minimax theorems. Conditions for the prior on the space of error densities are relatively mild and well-known constructions like the Dirichlet process mixture of normal densities and random series priors constitute valid choices. Particularly, the result provides an efficient estimate of regression coefficients in the linear mixed effect model, for which no other efficient point-estimator was known previously.

Full work available at URL: https://arxiv.org/abs/1607.04367

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zbMATH Keywords

linear regressionsemiparametric efficiencyBernstein-von Mises theoremlinear mixed-effect modelsymmetric error

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20)

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• Semiparametric estimation for linear regression with symmetric errors
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• Continuous forcing spectrum of regular hexagonal polyhexes
• Semiparametric Bernstein-von Mises for the error standard deviation
• A semiparametric Bernstein-von Mises theorem for Gaussian process priors
• A Bernstein-von Mises theorem for smooth functionals in semiparametric models

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