Adaptive Bayesian density estimation in sup-norm

DOI10.3150/21-BEJ1387MaRDI QIDQ6301601arXivFDO

Authors Zacharie Naulet

Publication date 15 May 2018

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Parametric inference (62Fxx) Statistical decision theory (62Cxx)

Abstract: We investigate the problem of deriving adaptive posterior rates of contraction on $mathbb{L}^{infty}$ balls in density estimation. Although it is known that log-density priors can achieve optimal rates when the true density is sufficiently smooth, adaptive rates were still to be proven. Here we establish that the so-called spike-and-slab prior can achieve adaptive and optimal posterior contraction rates. Along the way, we prove a generic $mathbb{L}^{infty}$ contraction result for log-density priors with independent wavelet coefficients. Interestingly, our approach is different from previous works on $mathbb{L}^{infty}$ contraction and is reminiscent of the classical test-based approach used in Bayesian nonparametrics. Moreover, we require no lower bound on the smoothness of the true density, albeit the rates are deteriorated by an extra $log(n)$ factor in the case of low smoothness.

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