Variational Bernstein-von Mises theorem with increasing parameter dimension

Abstract

Variational Bayes (VB) provides a computationally efficient alternative to Markov Chain Monte Carlo, especially for high-dimensional and large-scale inference. However, existing theory on VB primarily focuses on fixed-dimensional settings or specific models. To address this limitation, this paper develops a finite-sample theory for VB in a broad class of parametric models with latent variables. We establish theoretical properties of the VB posterior, including a non-asymptotic variational Bernstein--von Mises theorem. Furthermore, we derive consistency and asymptotic normality of the VB estimator. An application to multivariate Gaussian mixture models is presented for illustration.