Strong Consistency of Bayes Estimates in Stochastic Regression Models

Inchi Hu

Journal of Multivariate Analysis, 1996, vol. 57, issue 2, 215-227

Abstract: Under minimum assumptions on the stochastic regressors, strong consistency of Bayes estimates is established in stochastic regression models in two cases: (1) When the prior distribution is discrete, the p.d.f.fof i.i.d. random errors is assumed to have finite Fisher informationI=[integral operator][infinity]-[infinity](f')2/f dx

Keywords: Bayes; estimates; stochastic; regressor; martingale; system; identification; adaptive; control; dynamic; model; strongly; unimodal (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (2)

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