Consistency of Empirical Likelihood and Maximum A-Posteriori Probability Under Misspecification

Marian Grendar and George Judge
Additional contact information
Marian Grendar: Institute of Measurement Sciences SAS, Bratislava, Slovakia
George Judge: University of California, Berkeley and Giannini Foundation

No 1052, Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series from Department of Agricultural & Resource Economics, UC Berkeley

Abstract: Using a large deviations approach, Maximum A-Posteriori Probability (MAP) and Empirical Likelihood (EL) are shown to possess, under misspecification, an exclusive property of Bayesian consistency. Under conditions of consistency, regardless of prior the MAP estimator asymptotically coincides with EL. The consistency property is also studied for sampling processes other than iid.

Keywords: Maximum Non-parametric Likelihood; estimating equations; Bayesian nonparametric consistency; Bayesian Large Deviations; L-divergence; Polya sampling; right censoring (search for similar items in EconPapers)
Date: 2008-02-20
Note: oai:cdlib1:are_ucb-1196

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Persistent link: http://EconPapers.repec.org/RePEc:cdl:agrebk:1052

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