Convergence rates of posterior distributions for non iid observations

DOI10.1214/009053606000001172zbMATH Open1114.62060arXiv0708.0491OpenAlexW3104051756MaRDI QIDQ997377FDOQ997377

Authors: Subhashis Ghosal, Aad van der Vaart 

Publication date: 23 July 2007

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

Abstract: We consider the asymptotic behavior of posterior distributions and Bayes estimators based on observations which are required to be neither independent nor identically distributed. We give general results on the rate of convergence of the posterior measure relative to distances derived from a testing criterion. We then specialize our results to independent, nonidentically distributed observations, Markov processes, stationary Gaussian time series and the white noise model. We apply our general results to several examples of infinite-dimensional statistical models including nonparametric regression with normal errors, binary regression, Poisson regression, an interval censoring model, Whittle estimation of the spectral density of a time series and a nonlinear autoregressive model.

Full work available at URL: https://arxiv.org/abs/0708.0491

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• ON CONVERGENCE RATES FOR NONPARAMETRIC POSTERIOR DISTRIBUTIONS

zbMATH Keywords

rate of convergenceMarkov chainsHellinger distanceposterior distributiontestscovering numbersinfinite dimensional modelindependent nonidentically distributed observations

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Theory of statistical experiments (62B15)

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