General Frequentist Properties of the Posterior Profile Distribution

In this paper, inference for the parametric component of a semiparametric model based on sampling from the posterior profile distribution is thoroughly investigated from the frequentist viewpoint. The higher-order validity of the profile sampler obtained in Cheng and Kosorok [Ann. Statist. 36 (2008)] is extended to semiparametric models in which the infinite dimensional nuisance parameter may not have a root-n convergence rate. This is a nontrivial extension because it requires a delicate analysis of the entropy of the semiparametric models involved. We find that the accuracy of inferences based on the profile sampler improves as the convergence rate of the nuisance parameter increases. Simulation studies are used to verify this theoretical result. We also establish that an exact frequentist confidence interval obtained by inverting the profile log-likelihood ratio can be estimated with higher-order accuracy by the credible set of the same type obtained from the posterior profile distribution. Our theory is verified for several specific examples.