Nonparametric Bernstein-von Mises theorems in Gaussian white noise

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 $1-α$ frequentist coverage level and whose $L^2$-diameter shrinks at the minimax rate of convergence (within logarithmic factors) over Hölder 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 $L^2$ satisfying weak conditions.