Electronic Journal of Statistics

Kullback Leibler property of kernel mixture priors in Bayesian density estimation

Yuefeng Wu and Subhashis Ghosal

Full-text: Open access

Abstract

Positivity of the prior probability of Kullback-Leibler neighborhood around the true density, commonly known as the Kullback-Leibler property, plays a fundamental role in posterior consistency. A popular prior for Bayesian estimation is given by a Dirichlet mixture, where the kernels are chosen depending on the sample space and the class of densities to be estimated. The Kullback-Leibler property of the Dirichlet mixture prior has been shown for some special kernels like the normal density or Bernstein polynomial, under appropriate conditions. In this paper, we obtain easily verifiable sufficient conditions, under which a prior obtained by mixing a general kernel possesses the Kullback-Leibler property. We study a wide variety of kernel used in practice, including the normal, t, histogram, gamma, Weibull densities and so on, and show that the Kullback-Leibler property holds if some easily verifiable conditions are satisfied at the true density. This gives a catalog of conditions required for the Kullback-Leibler property, which can be readily used in applications.

Article information

Source
Electron. J. Statist., Volume 2 (2008), 298-331.

Dates
First available in Project Euclid: 8 May 2008

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1210254767

Digital Object Identifier
doi:10.1214/07-EJS130

Mathematical Reviews number (MathSciNet)
MR2399197

Zentralblatt MATH identifier
1135.62022

Subjects
Primary: 62G07: Density estimation 62G20: Asymptotic properties

Keywords
Bayesian density estimation Dirichlet process kernel mixture Kullback-Leibler property posterior consistency

Citation

Wu, Yuefeng; Ghosal, Subhashis. Kullback Leibler property of kernel mixture priors in Bayesian density estimation. Electron. J. Statist. 2 (2008), 298--331. doi:10.1214/07-EJS130. https://projecteuclid.org/euclid.ejs/1210254767


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