Adaptive Bernstein-von Mises theorems in Gaussian white noise

DOI10.1214/16-AOS1533zbMATH Open1384.62158arXiv1407.3397MaRDI QIDQ682292FDOQ682292

Kolyan Ray

Publication date: 14 February 2018

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

Abstract: We investigate Bernstein-von Mises theorems for adaptive nonparametric Bayesian procedures in the canonical Gaussian white noise model. We consider both a Hilbert space and multiscale setting with applications in $L^2$ and $L^{i}nfty$ respectively. This provides a theoretical justification for plug-in procedures, for example the use of certain credible sets for sufficiently smooth linear functionals. We use this general approach to construct optimal frequentist confidence sets based on the posterior distribution. We also provide simulations to numerically illustrate our approach and obtain a visual representation of the geometries involved.

Full work available at URL: https://arxiv.org/abs/1407.3397

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zbMATH Keywords

Bayesian inferenceadaptationconfidence setposterior asymptoticscredible set

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15)

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