Posterior Inference in Curved Exponential Families under Increasing Dimensions

Details Posterior Inference in Curved Exponential Families under Increasing Dimensions Posterior Inference in Curved Exponential Families under Increasing Dimensions

2009-04-20

arxiv.org/abs/0904.3132v2

Mathematics

Statistics Theory

26 pages, 1 figure

Scientific paper

This work studies the large sample properties of the posterior-based inference in the curved exponential family under increasing dimension. The curved structure arises from the imposition of various restrictions, such as moment restrictions, on the model, and plays a fundamental role in various branches of data analysis. We establish conditions under which the posterior distribution is approximately normal, which in turn implies various good properties of estimation and inference procedures based on the posterior. In the process we revisit and improve upon previous results for the exponential family under increasing dimension by making use of concentration of measure. We also discuss a variety of applications including the multinomial model with moment restrictions, seemingly unrelated regression equations, and single structural equation models. In our analysis, both the parameter dimension and the number of moments are increasing with the sample size.

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