Critical dimension in the semiparametric Bernstein—von Mises theorem

Maxim E. Panov, Vladimir G. Spokoiny

    Research output: Contribution to journalArticlepeer-review

    1 Citation (Scopus)

    Abstract

    The classical parametric and semiparametric Bernstein-von Mises (BvM) results are reconsidered in a nonclassical setup allowing finite samples and model misspecification. In the parametric case and in the case of a finite-dimensional nuisance parameter, we establish an upper bound on the error of Gaussian approximation of the posterior distribution of the target parameter; the bound depends explicitly on the dimension of the full and target parameters and on the sample size. This helps to identify the so-called critical dimension pn of the full parameter for which the BvM result is applicable. In the important special i.i.d. case, we show that the condition “pn3/n is small” is sufficient for the BvM result to be valid under general assumptions on the model. We also provide an example of a model with the phase transition effect: the statement of the BvM theorem fails when the dimension pn approaches n1/3.

    Original languageEnglish
    Pages (from-to)232-255
    Number of pages24
    JournalProceedings of the Steklov Institute of Mathematics
    Volume287
    Issue number1
    DOIs
    Publication statusPublished - 27 Nov 2014

    Fingerprint

    Dive into the research topics of 'Critical dimension in the semiparametric Bernstein—von Mises theorem'. Together they form a unique fingerprint.

    Cite this