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Nonparametric Bernstein-von Mises theorems in Gaussian white noise (1208.3862v4)

Published 19 Aug 2012 in math.ST and stat.TH

Abstract: Bernstein-von Mises theorems for nonparametric Bayes priors in the Gaussian white noise model are proved. It is demonstrated how such results justify Bayes methods as efficient frequentist inference procedures in a variety of concrete nonparametric problems. Particularly Bayesian credible sets are constructed that have asymptotically exact $1-\alpha$ frequentist coverage level and whose $L2$-diameter shrinks at the minimax rate of convergence (within logarithmic factors) over H\"{o}lder balls. Other applications include general classes of linear and nonlinear functionals and credible bands for auto-convolutions. The assumptions cover nonconjugate product priors defined on general orthonormal bases of $L2$ satisfying weak conditions.

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