Contributions to the understanding of Bayesian consistency

Antonio Lijoi (), Igor Prünster () and Stephen G. Walker ()

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: Consistency of Bayesian nonparametric procedures has been the focus of a considerable amount of research. Here we deal with strong consistency for Bayesian density estimation. An awkward consequence of inconsistency is pointed out. We investigate reasons for inconsistency and precisely identify the notion of “data tracking”. Specific examples in which this phenomenon can not occur are discussed. When it can happen, we show how and where things can go wrong, in particular the type of sets where the posterior can put mass.

Keywords: Bayesian consistency; Density estimation; Hellinger distance; Weak neighborhood (search for similar items in EconPapers)
Pages: 21 pages
Date: 2004-11
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:13-2004

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