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Concentration rate and consistency of the posterior under monotonicity constraints

Abstract

In this paper, we consider the well known problem of estimating a density function under qualitative assumptions. More precisely, we estimate monotone non increasing densities in a Bayesian setting and derive concentration rate for the posterior distribution for a Dirichlet process and finite mixture prior. We prove that the posterior distribution based on both priors concentrates at the rate (n/log(n))1/3(n/\log(n))^{-1/3}, which is the minimax rate of estimation up to a \log(n)factor.Wealsostudythebehaviouroftheposteriorforthepointwiselossatanyfixedpointofthesupportthedensityandforthesupnorm.Weprovethattheposteriorisconsistentforbothlosses. factor. We also study the behaviour of the posterior for the point-wise loss at any fixed point of the support the density and for the sup norm. We prove that the posterior is consistent for both losses.

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