On the frequentist validity of Bayesian limits

arXiv1611.08444MaRDI QIDQ6280137FDOQ6280137

Publication date: 25 November 2016

Abstract: To the frequentist who computes posteriors, not all priors are useful asymptotically: in this paper Schwartz's 1965 Kullback-Leibler condition is generalised to enable frequentist interpretation of convergence of posterior distributions with the complex models and often dependent datasets in present-day statistical applications. We prove four simple and fully general frequentist theorems, for posterior consistency; for posterior rates of convergence; for consistency of the Bayes factor in hypothesis testing or model selection; and a theorem to obtain confidence sets from credible sets. The latter has a significant methodological consequence in frequentist uncertainty quantification: use of a suitable prior allows one to convert credible sets of a calculated, simulated or approximated posterior into asymptotically consistent confidence sets, in full generality. This extends the main inferential implication of the Bernstein-von Mises theorem to non-parametric models without smoothness conditions. Proofs require the existence of a Bayesian type of test sequence and priors giving rise to local prior predictive distributions that satisfy a weakened form of Le~Cam's contiguity with respect to the data distribution. Results are applied in a wide range of examples and counterexamples.

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Theory of statistical experiments (62B15) Bayesian problems; characterization of Bayes procedures (62C10)

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