Rates of convergence of posterior distributions

• 成果类型: Article
• 署名作者: Shen, XT; Wasserman, L
• 署名单位: University System of Ohio; Ohio State University; Carnegie Mellon University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 2001
• 页码: 687-714
• 关键词: Nonparametric regression; Consistency; BEHAVIOR

摘要

We compute the rate at which the posterior distribution concentrates around the true parameter value. The spaces we work in are quite general and include infinite dimensional cases. The rates are driven by two quantities: the size of the space, as measured by bracketing entropy, and the degree to which the prior concentrates in a small ball around the true parameter. We consider two examples.