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

Marian Grendar and George Judge ()

No 6053, CUDARE Working Papers from University of California, Berkeley, Department of Agricultural and Resource Economics

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: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 16
Date: 2008
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Working Paper: Consistency of Empirical Likelihood and Maximum A-Posteriori Probability Under Misspecification (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ucbecw:6053

DOI: 10.22004/ag.econ.6053

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