Rates of convergence of posterior distributions

Xiaotong Shen; Larry Wasserman

doi:10.1214/aos/1009210686

Rates of convergence of posterior distributions

Xiaotong Shen, Larry Wasserman

Statistics (Twin Cities)

Research output: Contribution to journal › Article › peer-review

172 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	687-714
Number of pages	28
Journal	Annals of Statistics
Volume	29
Issue number	3
DOIs	https://doi.org/10.1214/aos/1009210686
State	Published - Jun 2001

Keywords

Asymptotic inference
Bayesian inference
Non-parametric models
Sieves

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10.1214/aos/1009210686

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KW - Asymptotic inference

KW - Bayesian inference

KW - Non-parametric models

KW - Sieves

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Rates of convergence of posterior distributions

Abstract

Keywords

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