The Annals of Statistics

General frequentist properties of the posterior profile distribution

Guang Cheng and Michael R. Kosorok

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Abstract

In this paper, inference for the parametric component of a semiparametric model based on sampling from the posterior profile distribution is thoroughly investigated from the frequentist viewpoint. The higher-order validity of the profile sampler obtained in Cheng and Kosorok [Ann. Statist. 36 (2008)] is extended to semiparametric models in which the infinite dimensional nuisance parameter may not have a root-n convergence rate. This is a nontrivial extension because it requires a delicate analysis of the entropy of the semiparametric models involved. We find that the accuracy of inferences based on the profile sampler improves as the convergence rate of the nuisance parameter increases. Simulation studies are used to verify this theoretical result. We also establish that an exact frequentist confidence interval obtained by inverting the profile log-likelihood ratio can be estimated with higher-order accuracy by the credible set of the same type obtained from the posterior profile distribution. Our theory is verified for several specific examples.

Article information

Source
Ann. Statist., Volume 36, Number 4 (2008), 1819-1853.

Dates
First available in Project Euclid: 16 July 2008

Permanent link to this document
https://projecteuclid.org/euclid.aos/1216237301

Digital Object Identifier
doi:10.1214/07-AOS536

Mathematical Reviews number (MathSciNet)
MR2435457

Zentralblatt MATH identifier
1142.62031

Subjects
Primary: 62G20: Asymptotic properties 62F25: Tolerance and confidence regions
Secondary: 62F15: Bayesian inference 62F12: Asymptotic properties of estimators

Keywords
Semiparametric models Markov chain Monte Carlo profile likelihood higher-order frequentist inference Cox proportional hazards model partly linear regression model

Citation

Cheng, Guang; Kosorok, Michael R. General frequentist properties of the posterior profile distribution. Ann. Statist. 36 (2008), no. 4, 1819--1853. doi:10.1214/07-AOS536. https://projecteuclid.org/euclid.aos/1216237301


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