## The Annals of Statistics

- Ann. Statist.
- Volume 45, Number 5 (2017), 2248-2273.

### On the contraction properties of some high-dimensional quasi-posterior distributions

#### Abstract

We study the contraction properties of a quasi-posterior distribution $\check{\Pi}_{n,d}$ obtained by combining a quasi-likelihood function and a sparsity inducing prior distribution on $\mathbb{R}^{d}$, as both $n$ (the sample size), and $d$ (the dimension of the parameter) increase. We derive some general results that highlight a set of sufficient conditions under which $\check{\Pi}_{n,d}$ puts increasingly high probability on sparse subsets of $\mathbb{R}^{d}$, and contracts toward the true value of the parameter. We apply these results to the analysis of logistic regression models, and binary graphical models, in high-dimensional settings. For the logistic regression model, we shows that for well-behaved design matrices, the posterior distribution contracts at the rate $O(\sqrt{s_{\star}\log(d)/n})$, where $s_{\star}$ is the number of nonzero components of the parameter. For the binary graphical model, under some regularity conditions, we show that a quasi-posterior analog of the neighborhood selection of [*Ann. Statist.* **34** (2006) 1436–1462] contracts in the Frobenius norm at the rate $O(\sqrt{(p+S)\log(p)/n})$, where $p$ is the number of nodes, and $S$ the number of edges of the true graph.

#### Article information

**Source**

Ann. Statist., Volume 45, Number 5 (2017), 2248-2273.

**Dates**

Received: September 2015

Revised: September 2016

First available in Project Euclid: 31 October 2017

**Permanent link to this document**

https://projecteuclid.org/euclid.aos/1509436834

**Digital Object Identifier**

doi:10.1214/16-AOS1526

**Mathematical Reviews number (MathSciNet)**

MR3718168

**Zentralblatt MATH identifier**

1383.62058

**Subjects**

Primary: 62F15: Bayesian inference 62Jxx: Linear inference, regression

**Keywords**

Quasi-Bayesian inference high-dimensional inference Bayesian asymptotics logistic regression models discrete graphical models

#### Citation

Atchadé, Yves A. On the contraction properties of some high-dimensional quasi-posterior distributions. Ann. Statist. 45 (2017), no. 5, 2248--2273. doi:10.1214/16-AOS1526. https://projecteuclid.org/euclid.aos/1509436834

#### Supplemental materials

- Supplement to “On the contraction properties of some high-dimensional quasi-posterior distributions”. The supplementary material contains the proof of Theorems 4, 9 and 10.Digital Object Identifier: doi:10.1214/16-AOS1526SUPPSupplemental files are immediately available to subscribers. Non-subscribers gain access to supplemental files with the purchase of the article.