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High dimensional Bernstein-von Mises: simple examples.

Iain M Johnstone1

  • 1Department of Statistics, Stanford University, CA 94305.

Institute of Mathematical Statistics Collections
|November 30, 2010
PubMed
Summary
This summary is machine-generated.

This study explores how posterior and frequentist probabilities align in Gaussian sequence models as data dimensions increase. We demonstrate three scenarios, showing conditions for the Bernstein-von Mises theorem

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Area of Science:

  • Statistics
  • Bayesian Inference
  • Frequentist Statistics

Background:

  • Understanding the relationship between Bayesian posterior probabilities and frequentist probabilities is crucial in statistical modeling.
  • The Bernstein-von Mises theorem provides conditions under which posterior distributions approximate frequentist properties.
  • Investigating this relationship becomes complex as the dimensionality (p) of the model increases relative to the sample size (n).

Purpose of the Study:

  • To illustrate three distinct perspectives on the matching of posterior and frequentist probabilities in Gaussian sequence models.
  • To examine how this matching behaves as the dimension (p) increases with the sample size (n).
  • To explore the implications for the validity of the Bernstein-von Mises theorem under varying conditions.

Main Methods:

  • Development of simple, illustrative examples within Gaussian sequence models featuring Gaussian priors.
  • Analysis of three specific settings: convergence of joint posterior distributions, behavior of squared error loss (a non-linear functional), and estimation of linear functionals.
  • Progressive relaxation of conditions required for the Bernstein-von Mises theorem's applicability.

Main Results:

  • Demonstration of how posterior and frequentist probabilities converge under specific conditions as p increases with n.
  • Characterization of the behavior of a non-linear functional (squared error loss) in this high-dimensional context.
  • Evaluation of the accuracy of linear functional estimation from posterior distributions.

Conclusions:

  • The study provides concrete examples clarifying the nuanced agreement between Bayesian and frequentist approaches in increasing dimensions.
  • The findings highlight that the conditions for the Bernstein-von Mises theorem's validity can be relaxed in certain settings.
  • These results offer practical insights into the behavior of statistical inference as model complexity grows.