Bayesian High-dimensional Semi-parametric Inference beyond sub-Gaussian Errors

We consider a sparse linear regression model with unknown symmetric error under the high-dimensional setting. The true error distribution is assumed to belong to the locally $β$-Hölder class with an exponentially decreasing tail, which does not need to be sub-Gaussian. We obtain posterior convergence rates of the regression coefficient and the error density, which are nearly optimal and adaptive to the unknown sparsity level. Furthermore, we derive the semi-parametric Bernstein-von Mises (BvM) theorem to characterize asymptotic shape of the marginal posterior for regression coefficients. Under the sub-Gaussianity assumption on the true score function, strong model selection consistency for regression coefficients are also obtained, which eventually asserts the frequentist's validity of credible sets.

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