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VOL. 9 | 2013 Analyzing posteriors by the information inequality
Willem Kruijer, Aad van der Vaart

Editor(s) M. Banerjee, F. Bunea, J. Huang, V. Koltchinskii, M. H. Maathuis

Abstract

We give bounds on the concentration of (pseudo) posterior distributions, both for correct and misspecified models. The bounds are derived using the information inequality, entropy estimates, and empirical process methods.

Information

Published: 1 January 2013
First available in Project Euclid: 8 March 2013

zbMATH: 1353.62029
MathSciNet: MR3202636

Digital Object Identifier: 10.1214/12-IMSCOLL916

Subjects:
Primary: 60K35

Keywords: posterior contraction, prior, Bayes

Rights: Copyright © 2010, Institute of Mathematical Statistics

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