Bayesian asymptotics with misspecified models

De Blasi, Pierpaolo; Walker, S. G.

doi:10.5705/ss.2010.239

In this paper, we study the asymptotic properties of a sequence of posterior distributions based on an independent and identically distributed sample and when the Bayesian model is misspeciﬁed. We ﬁnd a suﬃcient condition on the prior for the posterior to accumulate around the densities in the model closest in the Kullback–Leibler sense to the true density function. Examples are presented.

Titolo:	Bayesian asymptotics with misspecified models
Autori Riconosciuti:	DE BLASI, Pierpaolo S. G. Walker mostra contributor esterni nascondi contributor esterni
Autori:	P. De Blasi; S.G. Walker
Data di pubblicazione:	2013
Abstract:	In this paper, we study the asymptotic properties of a sequence of posterior distributions based on an independent and identically distributed sample and when the Bayesian model is misspeciﬁed. We ﬁnd a suﬃcient condition on the prior for the posterior to accumulate around the densities in the model closest in the Kullback–Leibler sense to the true density function. Examples are presented.
Volume:	23
Pagina iniziale:	169
Pagina finale:	187
Digital Object Identifier (DOI):	10.5705/ss.2010.239
URL:	http://www3.stat.sinica.edu.tw/statistica/
Parole Chiave:	Asymptotics; Consistency; Misspeciﬁed model
Rivista:	STATISTICA SINICA
Appare nelle tipologie:	03A-Articolo su Rivista

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Utilizza questo identificativo per citare o creare un link a questo documento:
http://hdl.handle.net/2318/96936

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