Electronic Journal of Statistics

Dynamics of Bayesian updating with dependent data and misspecified models

Cosma Rohilla Shalizi

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Much is now known about the consistency of Bayesian updating on infinite-dimensional parameter spaces with independent or Markovian data. Necessary conditions for consistency include the prior putting enough weight on the correct neighborhoods of the data-generating distribution; various sufficient conditions further restrict the prior in ways analogous to capacity control in frequentist nonparametrics. The asymptotics of Bayesian updating with mis-specified models or priors, or non-Markovian data, are far less well explored. Here I establish sufficient conditions for posterior convergence when all hypotheses are wrong, and the data have complex dependencies. The main dynamical assumption is the asymptotic equipartition (Shannon-McMillan-Breiman) property of information theory. This, along with Egorov’s Theorem on uniform convergence, lets me build a sieve-like structure for the prior. The main statistical assumption, also a form of capacity control, concerns the compatibility of the prior and the data-generating process, controlling the fluctuations in the log-likelihood when averaged over the sieve-like sets. In addition to posterior convergence, I derive a kind of large deviations principle for the posterior measure, extending in some cases to rates of convergence, and discuss the advantages of predicting using a combination of models known to be wrong. An appendix sketches connections between these results and the replicator dynamics of evolutionary theory.

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Electron. J. Statist. Volume 3 (2009), 1039-1074.

First available in Project Euclid: 29 October 2009

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Zentralblatt MATH identifier

Primary: 62C10: Bayesian problems; characterization of Bayes procedures 62G20: Asymptotic properties 62M09: Non-Markovian processes: estimation
Secondary: 60F10: Large deviations 62M05: Markov processes: estimation 92D15: Problems related to evolution 94A17: Measures of information, entropy

Asymptotic equipartition Bayesian consistency Bayesian nonparametrics Egorov’s theorem large deviations posterior convergence replicator dynamics sofic systems


Shalizi, Cosma Rohilla. Dynamics of Bayesian updating with dependent data and misspecified models. Electron. J. Statist. 3 (2009), 1039--1074. doi:10.1214/09-EJS485. http://projecteuclid.org/euclid.ejs/1256822130.

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