Semiparametric posterior limits
Abstract
We review the Bayesian theory of semiparametric inference following Bickel and Kleijn (2012) and Kleijn and Knapik (2013). After an overview of efficiency in parametric and semiparametric estimation problems, we consider the Bernstein-von Mises theorem (see, e.g., Le Cam and Yang (1990)) and generalize it to (LAN) regular and (LAE) irregular semiparametric estimation problems. We formulate a version of the semiparametric Bernstein-von Mises theorem that does not depend on least-favourable submodels, thus bypassing the most restrictive condition in the presentation of Bickel and Kleijn (2012). The results are applied to the (regular) estimation of the linear coefficient in partial linear regression (with a Gaussian nuisance prior) and of the kernel bandwidth in a model of normal location mixtures (with a Dirichlet nuisance prior), as well as the (irregular) estimation of the boundary of the support of a monotone family of densities (with a Gaussian nuisance prior).
Cite
@article{arxiv.1305.4836,
title = {Semiparametric posterior limits},
author = {B. J. K. Kleijn},
journal= {arXiv preprint arXiv:1305.4836},
year = {2013}
}
Comments
47 pp., 1 figure, submitted for publication. arXiv admin note: substantial text overlap with arXiv:1007.0179