Bayesian Inference on Multivariate Medians and Quantiles

TL;DR

This paper develops asymptotic Bayesian inference methods for multivariate medians and quantiles using Dirichlet process priors, establishing normality and coverage properties, with applications to real data.

Contribution

It introduces Bernstein-von Mises theorems for multivariate medians and quantiles, extending asymptotic normality results to general $ extit{p}$-norms and affine equivariant versions.

Findings

Posterior concentrates at $n^{-1/2}$-rate around true median.

Credible sets have asymptotically correct frequentist coverage.

Simulation confirms the accuracy of the asymptotic approximation.

Abstract

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 $\ell_1$-median with respect to general $\ell_p$-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 $\ell_p$-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 $\ell_1$-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.