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arXiv · 1508.04812

Multivariate Density Estimation via Adaptive Partitioning (II): Posterior Concentration

Linxi Liu·Wing Hung Wong
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Abstract

In this paper, we study a class of non-parametric density estimators under Bayesian settings. The estimators are piecewise constant functions on binary partitions. We analyze the concentration rate of the posterior distribution under a suitable prior, and demonstrate that the rate does not directly depend on the dimension of the problem. This paper can be viewed as an extension of a parallel work where the convergence rate of a related sieve MLE was established. Compared to the sieve MLE, the main advantage of the Bayesian method is that it can adapt to the unknown complexity of the true density function, thus achieving the optimal convergence rate without artificial conditions on the density.

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Linxi Liu, Wing Hung Wong. 2015-08-19. Multivariate Density Estimation via Adaptive Partitioning (II): Posterior Concentration. https://arxiv.org/abs/1508.04812

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