Bayesian Inference on Multivariate Medians and Quantiles
share
In this paper, we consider Bayesian inference on a class of multivariate median and the multivariate quantile functionals of a joint distribution using a Dirichlet process prior. Since, unlike univariate quantiles, the exact posterior distribution of multivariate median and multivariate quantiles are not obtainable explicitly, we study these distributions asymptotically. We derive a Bernstein-von Mises theorem for the multivariate ℓ_1-median with respect to general ℓ_p-norm, which in particular shows that its posterior concentrates around its true value at n^-1/2-rate and its credible sets have asymptotically correct frequentist coverage. In particular, asymptotic normality results for the empirical multivariate median with general ℓ_p-norm is also derived in the course of the proof which extends the results from the case p=2 in the literature to a general p. The technique involves approximating the posterior Dirichlet process by a Bayesian bootstrap process and deriving a conditional Donsker theorem. We also obtain analogous results for an affine equivariant version of the multivariate ℓ_1-median based on an adaptive transformation and re-transformation technique. The results are extended to a joint distribution of multivariate quantiles. The accuracy of the asymptotic result is confirmed by a simulation study. We also use the results to obtain Bayesian credible regions for multivariate medians for Fisher's iris data, which consists of four features measured for each of three plant species.
READ FULL TEXT