Asymptotic Normality of Posterior Distributions for Exponential Families when the Number of Parameters Tends to Infinity

Subhashis Ghosal

Journal of Multivariate Analysis, 2000, vol. 74, issue 1, 49-68

Abstract: We study consistency and asymptotic normality of posterior distributions of the natural parameter for an exponential family when the dimension of the parameter grows with the sample size. Under certain growth restrictions on the dimension, we show that the posterior distributions concentrate in neighbourhoods of the true parameter and can be approximated by an appropriate normal distribution.

Keywords: exponential family; normal approximation; posterior consistency; posterior distribution (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (8)

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