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Teoriya Veroyatnostei i ee Primeneniya, 2002, Volume 47, Issue 2, Pages 229–254
DOI: https://doi.org/10.4213/tvp3616
(Mi tvp3616)
 

On consistency of Bayes procedures

A. I. Loa, V. V. Sazonovb

a Department of Mathematics The Hong Kong University of Science and Technology
b Steklov Mathematical Institute, Russian Academy of Sciences
Abstract: For a wide class of statistical models with $\sigma$-finite priors, sufficient conditions for consistency of Bayes procedures for almost all values of the parameter are given. For a more restrictive class of invariant statistical models with some $\sigma$-finite priors, we give sufficient conditions for consistency of Bayes procedures for all values of the parameter. Particular cases of these invariant statistical models include the location model on a locally compact Polish group, rotation invariant families on the unit sphere in $\mathbf{R}^k$, and the scale-location model in $\mathbf{R}^k$.
Keywords: consistency, Bayes estimates, invariant Markov kernels, posterior distributions, invariant probability, statistical models.
Received: 12.03.2001
English version:
Theory of Probability and its Applications, 2003, Volume 47, Issue 2, Pages 236–256
DOI: https://doi.org/10.1137/S0040585X97979615
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. I. Lo, V. V. Sazonov, “On consistency of Bayes procedures”, Teor. Veroyatnost. i Primenen., 47:2 (2002), 229–254; Theory Probab. Appl., 47:2 (2003), 236–256
Citation in format AMSBIB
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\by A.~I.~Lo, V.~V.~Sazonov
\paper On consistency of Bayes procedures
\jour Teor. Veroyatnost. i Primenen.
\yr 2002
\vol 47
\issue 2
\pages 229--254
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\crossref{https://doi.org/10.4213/tvp3616}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2001831}
\zmath{https://zbmath.org/?q=an:1036.62023}
\transl
\jour Theory Probab. Appl.
\yr 2003
\vol 47
\issue 2
\pages 236--256
\crossref{https://doi.org/10.1137/S0040585X97979615}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000183800700005}
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  • https://www.mathnet.ru/eng/tvp3616
  • https://doi.org/10.4213/tvp3616
  • https://www.mathnet.ru/eng/tvp/v47/i2/p229
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