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2008 Kullback Leibler property of kernel mixture priors in Bayesian density estimation
Yuefeng Wu, Subhashis Ghosal
Electron. J. Statist. 2: 298-331 (2008). DOI: 10.1214/07-EJS130


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.


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Yuefeng Wu. Subhashis Ghosal. "Kullback Leibler property of kernel mixture priors in Bayesian density estimation." Electron. J. Statist. 2 298 - 331, 2008.


Published: 2008
First available in Project Euclid: 8 May 2008

zbMATH: 1135.62022
MathSciNet: MR2399197
Digital Object Identifier: 10.1214/07-EJS130

Primary: 62G07 , 62G20

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

Rights: Copyright © 2008 The Institute of Mathematical Statistics and the Bernoulli Society


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