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A Bernstein-von Mises theorem for smooth functionals in semiparametric models

hal.structure.identifierLaboratoire de Probabilités et Modèles Aléatoires [LPMA]
dc.contributor.authorCastillo, Ismaël
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
hal.structure.identifierCentre de Recherche en Économie et Statistique [CREST]
dc.contributor.authorRousseau, Judith
dc.date.accessioned2018-01-12T12:50:50Z
dc.date.available2018-01-12T12:50:50Z
dc.date.issued2015
dc.identifier.issn0090-5364
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17291
dc.language.isoenen
dc.subjectBayesian nonparametricsen
dc.subjectBernstein–von Mises theoremen
dc.subjectposterior concentrationen
dc.subjectsemiparametric inferenceen
dc.subject.ddc519en
dc.titleA Bernstein-von Mises theorem for smooth functionals in semiparametric modelsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenA Bernstein–von Mises theorem is derived for general semiparametric functionals. The result is applied to a variety of semiparametric problems in i.i.d. and non-i.i.d. situations. In particular, new tools are developed to handle semiparametric bias, in particular for nonlinear functionals and in cases where regularity is possibly low. Examples include the squared L2-norm in Gaussian white noise, nonlinear functionals in density estimation, as well as functionals in autoregressive models. For density estimation, a systematic study of BvM results for two important classes of priors is provided, namely random histograms and Gaussian process priors.en
dc.relation.isversionofjnlnameThe Annals of Statistics
dc.relation.isversionofjnlvol43en
dc.relation.isversionofjnlissue6en
dc.relation.isversionofjnldate2015-10
dc.relation.isversionofjnlpages2353-2383en
dc.relation.isversionofdoi10.1214/15-AOS1336en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2018-01-12T12:47:53Z
hal.author.functionaut
hal.author.functionaut


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