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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
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
Linking options:
https://www.mathnet.ru/eng/tvp3616https://doi.org/10.4213/tvp3616 https://www.mathnet.ru/eng/tvp/v47/i2/p229
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Abstract page: | 251 | Full-text PDF : | 151 |
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