Semiparametric Bayesian Inference for Local Extrema of Functions in the Presence of Noise

Abstract

There is a wide range of applications where the local extrema of a function are the key quantity of interest. However, there is surprisingly little work on methods to infer local extrema with uncertainty quantification in the presence of noise. By viewing the function as an infinite-dimensional nuisance parameter, a semiparametric formulation of this problem poses daunting challenges, both methodologically and theoretically, as (i) the number of local extrema may be unknown, and (ii) the induced shape constraints associated with local extrema are highly irregular. In this article, we address these challenges by suggesting an encompassing strategy that eliminates the need to specify the number of local extrema, which leads to a remarkably simple, fast semiparametric Bayesian approach for inference on local extrema. We provide closed-form characterization of the posterior distribution and study its large sample behaviors under this encompassing regime. We show a multi-modal Bernstein-von Mises phenomenon in which the posterior measure converges to a mixture of Gaussians with the number of components matching the underlying truth, leading to posterior exploration that accounts for multi-modality. We illustrate the method through simulations and a real data application to event-related potential analysis.