Bernstein-von Mises theorems for functionals of the covariance matrix

Abstract

We provide a general theoretical framework to derive Bernstein-von Mises theorems for functionals of the covariance matrix and its inverse. The conditions on functionals and priors are explicit and easy to check. Results are obtained for various functionals including entries of covariance matrix, entries of precision matrix, quadratic forms, log-determinant, eigenvalues in the Bayesian Gaussian covariance/precision matrix estimation setting, as well as for Bayesian linear and quadratic discriminant analysis.