Open Access
October 2004 New approaches to Bayesian consistency
Stephen Walker
Ann. Statist. 32(5): 2028-2043 (October 2004). DOI: 10.1214/009053604000000409

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.

Citation

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Stephen Walker. "New approaches to Bayesian consistency." Ann. Statist. 32 (5) 2028 - 2043, October 2004. https://doi.org/10.1214/009053604000000409

Information

Published: October 2004
First available in Project Euclid: 27 October 2004

zbMATH: 1056.62040
MathSciNet: MR2102501
Digital Object Identifier: 10.1214/009053604000000409

Subjects:
Primary: 62G20

Keywords: Hellinger consistency , Kullback–Leibler consistency , martingale sequence , predictive density

Rights: Copyright © 2004 Institute of Mathematical Statistics

Vol.32 • No. 5 • October 2004
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