arXiv 1 Nov 2023 · Econometrics
arXiv:2311.00662 · PDF · DOI · OpenAlex · Extracted main text
This paper studies quasi Bayesian estimation and uncertainty quantification for an unknown function that is identified by a nonparametric conditional moment restriction. We derive contraction rates for a class of Gaussian process priors. Furthermore, we provide conditions under which a Bernstein von Mises theorem holds for the quasi-posterior distribution. As a consequence, we show that optimally weighted quasi-Bayes credible sets have exact asymptotic frequentist coverage.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Monard, Francois, Richard Nickl, and Gabriel P Paternain (2021) b): Statistical guarantees for Bayesian uncertainty quantification in nonlinear inverse problems with Gaussian process priors | 1.000 | 5 | 3 | 100% |
| 2 | Ghosal, Subhashis and Aad Van der Vaart (2017) Fundamentals of nonparametric Bayesian Inference | 0.874 | 8 | 2 | 100% |
| 3 | Chen, Xiaohong and Demian Pouzo (2012) Estimation of nonparametric conditional moment models with possibly nonsmooth generalized residuals | 0.811 | 4 | 2 | 100% |
| 4 | Liao, Yuan and Wenxin Jiang (2011) Posterior consistency of nonparametric conditional moment restricted models | 0.737 | 3 | 2 | 100% |
| 5 | Giné, Evarist and Richard Nickl (2021) Mathematical foundations of infinite-dimensional statistical models | 0.693 | 5 | 1 | 100% |
| 6 | Castillo, Ismaël and Judith Rousseau (2015) A Bernstein–von Mises theorem for smooth functionals in semiparametric models | 0.644 | 2 | 2 | 100% |
| 7 | Evans, Lawrence C (2022) Partial differential equations | 0.644 | 2 | 2 | 100% |
| 8 | Gugushvili, Shota, Aad van der Vaart, and Dong Yan (2020) Bayesian linear inverse problems in regularity scales, in | 0.644 | 2 | 2 | 100% |
| 9 | Knapik, BT, AW van der Vaart, and JH van Zanten (2011) Bayesian inverse problems with Gaussian priors | 0.644 | 2 | 2 | 100% |
| 10 | Chen, Xiaohong and Demian Pouzo (2009) Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 44 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Quasi-Bayes in Latent Variable Models | 0.405 | 1 | 1 |