Improved Scaling with Dimension in the Bernstein-von Mises Theorem for Two Statistical Models
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Past works have shown that the Bernstein-von Mises theorem, on the asymptotic normality of posterior distributions, holds if the parameter dimension d grows slower than the cube root of sample size n. Here, we prove the first Bernstein-von Mises theorem in the regime d^2≪ n. We establish this result for 1) exponential families and 2) logistic regression with Gaussian design. The proof builds on our recent work on the accuracy of the Laplace approximation to posterior distributions, in which we showed the approximation error in TV distance scales as d/√(n).
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