A Bernstein-von Mises theorem for smooth functionals in semiparametric models

DOI10.1214/15-AOS1336zbMATH Open1327.62302arXiv1305.4482MaRDI QIDQ892238FDOQ892238

Authors: Ismaël Castillo, Judith Rousseau 

Publication date: 18 November 2015

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

Abstract: A Bernstein-von Mises theorem is derived for general semiparametric functionals. The result is applied to a variety of semiparametric problems in i.i.d. and non-i.i.d. situations. In particular, new tools are developed to handle semiparametric bias, in particular for nonlinear functionals and in cases where regularity is possibly low. Examples include the squared $L^2$-norm in Gaussian white noise, nonlinear functionals in density estimation, as well as functionals in autoregressive models. For density estimation, a systematic study of BvM results for two important classes of priors is provided, namely random histograms and Gaussian process priors.

Full work available at URL: https://arxiv.org/abs/1305.4482

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zbMATH Keywords

Bayesian nonparametricsposterior concentrationsemiparametric inferenceBernstein-von Mises theorem

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (46)

• The Bernstein-von Mises theorem in semiparametric competing risks models
• Comment: ``Bayes, oracle Bayes and empirical Bayes
• Pólya tree posterior distributions on densities
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• A Bernstein-von Mises theorem for smooth functionals in semiparametric models

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