Posterior distribution of nondifferentiable functions
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This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(θ), where θ is a finite-dimensional parameter of either a parametric or semiparametric model. The main assumption is that the distribution of a suitable estimator θ̂n, its bootstrap approximation, and the Bayesian posterior for θ all agree asymptotically.
贝叶斯加性回归树的稳健半参数推断
Bayesian additive regression trees (BART) provide a class of flexible nonparametric regressions in machine learning. Their rich tree-based structure can generate non-Donsker classes of regression functions. We study posterior inference for the population mean under missing at random. We derive a new Bernstein-von Mises (BvM) theorem showing that even a one-step posterior based on BART and Bayesian-bootstrap reweighting retains a non-negligible bias term in the non-Donsker…
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Abstract We present a new approach to semiparametric inference using corrected posterior distributions. The method allows us to leverage the adaptivity, regularization, and predictive power of nonparametric Bayesian procedures to estimate low-dimensional functionals of interest without being restricted by the holistic Bayesian formalism. Starting from a conventional posterior on the whole data-generating distribution, we correct the marginal posterior for each functional of…