On Gaussian Process Priors in Conditional Moment Restriction Models
| Autor: | Kankanala, Sid |
|---|---|
| Rok vydání: | 2023 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | 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. Comment: 62 pages |
| Databáze: | arXiv |
| Externí odkaz: |
|