Gaussian Approximation of General Nonparametric Posterior Distributions
arXiv:1411.3686
Abstract
In a general class of Bayesian nonparametric models, we prove that the posterior distribution can be asymptotically approximated by a Gaussian process. Our results apply to nonparametric exponential family that contains both Gaussian and non-Gaussian regression, and also hold for both efficient (root-n) and inefficient (non root-n) estimation. Our general approximation theorem does not rely on posterior conjugacy, and can be verified in a class of Gaussian process priors that has a smoothing spline interpretation [59, 44]. In particular, the limiting posterior measure becomes prior-free under a Bayesian version of "under-smoothing" condition. Finally, we apply our approximation theorem to examine the asymptotic frequentist properties of Bayesian procedures such as credible regions and credible intervals.
To Appear in Information and Inference. In Memory of Prof. Jayanta Ghosh
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