A Bayesian nonparametric approach to log-concave density estimation
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Accepted version
Supporting information
OA Location
Author(s)
Mariucci, Ester
Ray, Kolyan
Szabó, Botond
Type
Journal Article
Abstract
The estimation of a log-concave density on R is a canonical problem in the area of shape-constrained nonparametric inference. We present a Bayesian nonparametric approach to this problem based on an exponentiated Dirichlet process mixture prior and show that the posterior distribution converges to the log-concave truth at the (near-) minimax rate in Hellinger distance. Our proof proceeds by establishing a general contraction result based on the log-concave maximum likelihood estimator that prevents the need for further metric entropy calculations. We further present computationally more feasible approximations and both an empirical and hierarchical Bayes approach. All priors are illustrated numerically via simulations.
Date Issued
2020-05
Date Acceptance
2019-07-08
Citation
Bernoulli, 2020, 26 (2), pp.1070-1097
ISSN
1350-7265
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Start Page
1070
End Page
1097
Journal / Book Title
Bernoulli
Volume
26
Issue
2
Copyright Statement
© 2020 ISI/BS
Identifier
https://projecteuclid.org/euclid.bj/1580461573
Subjects
0104 Statistics
1403 Econometrics
Statistics & Probability
Publication Status
Published
Date Publish Online
2020-01-31