Empirical priors and posterior concentration rates for a monotone
density
Abstract
In a Bayesian context, prior specification for inference on monotone densities is straightforward, but proving posterior convergence theorems is complicated by the fact that desirable prior concentration properties often are not satisfied. In this paper, I first develop a new prior designed specifically to satisfy an empirical version of the prior concentration property, and then I give sufficient conditions on the prior inputs such that the corresponding empirical Bayes posterior concentrates around the true monotone density at nearly the optimal minimax rate.
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