Empirical Priors and Posterior Concentration Rates for a Monotone Density

Ryan Martin ()
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Ryan Martin: North Carolina State University

Sankhya A: The Indian Journal of Statistics, 2019, vol. 81, issue 2, No 11, 493-509

Abstract: Abstract In a Bayesian context, prior specification for inference on monotone densities is conceptually straightforward, but proving posterior convergence theorems is complicated by the fact that desirable prior concentration properties often are not satisfied. In this paper, I first develop a new prior designed specifically to satisfy an empirical version of the prior concentration property, and then I give sufficient conditions on the prior inputs such that the corresponding empirical Bayes posterior concentrates around the true monotone density at nearly the optimal minimax rate. Numerical illustrations also reveal the practical benefits of the proposed empirical Bayes approach compared to Dirichlet process mixtures.

Keywords: Density estimation; Empirical Bayes; Grenander estimator; Mixture model; Shape constraint.; Primary 62C15; Secondary 62G07 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s13171-018-0147-5

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