Wasserstein convergence in Bayesian deconvolution models

Abstract

We study the reknown deconvolution problem of recovering a distribution function from independent replicates (signal) additively contaminated with random errors (noise), whose distribution is known. We investigate whether a Bayesian nonparametric approach for modelling the latent distribution of the signal can yield inferences with asymptotic frequentist validity under the $L^1$-Wasserstein metric. When the error density is ordinary smooth, we develop two inversion inequalities relating either the $L^1$ or the $L^1$-Wasserstein distance between two mixture densities (of the observations) to the $L^1$-Wasserstein distance between the corresponding distributions of the signal. This smoothing inequality improves on those in the literature. We apply this general result to a Bayesian approach bayes on a Dirichlet process mixture of normal distributions as a prior on the mixing distribution (or distribution of the signal), with a Laplace or Linnik noise. In particular we construct an \textit{adaptive} approximation of the density of the observations by the convolution of a Laplace (or Linnik) with a well chosen mixture of normal densities and show that the posterior concentrates at the minimax rate up to a logarithmic factor. The same prior law is shown to also adapt to the Sobolev regularity level of the mixing density, thus leading to a new Bayesian estimation method, relative to the Wasserstein distance, for distributions with smooth densities.