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Bayesian multivariate Bernstein polynomial density estimation

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  • Wiper, Michael Peter
  • Ausín Olivera, María Concepción
  • Zhao, Yanyun

Abstract

This paper introduces a new approach to Bayesian nonparametric inference for densities on the hypercube, based on the use of a multivariate Bernstein polynomial prior. Posterior convergence rates under the proposed prior are obtained. Furthermore, a novel sampling scheme, based on the use of slice sampling techniques, is proposed for estimation of the posterior predictive density. The approach is illustrated with both simulated and real data examples

Suggested Citation

  • Wiper, Michael Peter & Ausín Olivera, María Concepción & Zhao, Yanyun, 2013. "Bayesian multivariate Bernstein polynomial density estimation," DES - Working Papers. Statistics and Econometrics. WS ws131211, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Handle: RePEc:cte:wsrepe:ws131211
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    References listed on IDEAS

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    1. Omiros Papaspiliopoulos & Gareth O. Roberts, 2008. "Retrospective Markov chain Monte Carlo methods for Dirichlet process hierarchical models," Biometrika, Biometrika Trust, vol. 95(1), pages 169-186.
    2. Axel Tenbusch, 1994. "Two-dimensional Bernstein polynomial density estimators," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 41(1), pages 233-253, December.
    3. Sonia Petrone, 1999. "Random Bernstein Polynomials," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(3), pages 373-393.
    4. Lorenzo Trippa & Paolo Bulla & Sonia Petrone, 2011. "Extended Bernstein prior via reinforced urn processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(3), pages 481-496, June.
    5. Olkin, Ingram & Liu, Ruixue, 2003. "A bivariate beta distribution," Statistics & Probability Letters, Elsevier, vol. 62(4), pages 407-412, May.
    6. Sonia Petrone & Larry Wasserman, 2002. "Consistency of Bernstein polynomial posteriors," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(1), pages 79-100.
    7. Jara, Alejandro & Hanson, Timothy & Quintana, Fernando A. & Müller, Peter & Rosner, Gary L., 2011. "DPpackage: Bayesian Semi- and Nonparametric Modeling in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 40(i05).
    8. Sancetta, Alessio & Satchell, Stephen, 2004. "The Bernstein Copula And Its Applications To Modeling And Approximations Of Multivariate Distributions," Econometric Theory, Cambridge University Press, vol. 20(03), pages 535-562, June.
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    Keywords

    Dirichlet process;

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