Nonparametric Bayesian model selection and averaging

  title={Nonparametric Bayesian model selection and averaging},
  author={Subhashis Ghosal and Juri Lember and Aad van der Vaart},
Abstract: We consider nonparametric Bayesian estimation of a probability density p based on a random sample of size n from this density using a hierarchical prior. The prior consists, for instance, of prior weights on the regularity of the unknown density combined with priors that are appropriate given that the density has this regularity. More generally, the hierarchy consists of prior weights on an abstract model index and a prior on a density model for each model index. We present a general… CONTINUE READING

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