The Annals of Statistics

New approaches to Bayesian consistency

Stephen Walker

Full-text: Open access

Abstract

We use martingales to study Bayesian consistency. We derive sufficient conditions for both Hellinger and Kullback–Leibler consistency, which do not rely on the use of a sieve. Alternative sufficient conditions for Hellinger consistency are also found and demonstrated on examples.

Article information

Source
Ann. Statist., Volume 32, Number 5 (2004), 2028-2043.

Dates
First available in Project Euclid: 27 October 2004

Permanent link to this document
https://projecteuclid.org/euclid.aos/1098883780

Digital Object Identifier
doi:10.1214/009053604000000409

Mathematical Reviews number (MathSciNet)
MR2102501

Zentralblatt MATH identifier
1056.62040

Subjects
Primary: 62G20: Asymptotic properties

Keywords
Hellinger consistency Kullback–Leibler consistency martingale sequence predictive density

Citation

Walker, Stephen. New approaches to Bayesian consistency. Ann. Statist. 32 (2004), no. 5, 2028--2043. doi:10.1214/009053604000000409. https://projecteuclid.org/euclid.aos/1098883780


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