Accepted Paper

Inserted: 22 oct 2020
Last Updated: 4 may 2023

Journal: Ann. Inst. H. Poincaré Probab. Statist.
Year: 2020

Abstract:

In Bayesian statistics, a continuity property of the posterior distribution with respect to the observable variable is crucial as it expresses well-posedness, i.e., stability with respect to errors in the measurement of data. Essentially, this requires to analyze the continuity of a probability kernel or, equivalently, of a conditional probability distribution with respect to the conditioning variable. Here, we give general conditions for the Lipschitz continuity of probability kernels with respect to metric structures arising within the optimal transport framework, such as the Wasserstein metric. For dominated probability kernels over finite-dimensional spaces, we show Lipschitz continuity results with a Lipschitz constant enjoying explicit bounds in terms of Fisher-information functionals and weighted Poincaré constants. We also provide results for kernels with moving support, for infinite-dimensional spaces and for non dominated kernels. We show applications to several problems in Bayesian statistics, such as approximation of posterior distributions by mixtures and posterior consistency.