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Consistency of Empirical Likelihood and Maximum A-Posteriori Probability Under Misspecification

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Author Info
Marian Grendar (Institute of Measurement Sciences SAS, Bratislava, Slovakia)
George Judge (University of California, Berkeley and Giannini Foundation)
Abstract

Using a large deviations approach, Maximum A-Posteriori Probability (MAP) and Empirical Likelihood (EL) are shown to possess, under misspecification, an exclusive property of Bayesian consistency. Under conditions of consistency, regardless of prior the MAP estimator asymptotically coincides with EL. The consistency property is also studied for sampling processes other than iid.

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Publisher Info
Paper provided by Department of Agricultural & Resource Economics, UC Berkeley in its series Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series with number 1052.

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Date of creation: 20 Feb 2008
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Handle: RePEc:cdl:agrebk:1052

Note: oai:cdlib1:are_ucb-1196
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Related research
Keywords: Maximum Non-parametric Likelihood; estimating equations; Bayesian nonparametric consistency; Bayesian Large Deviations; L-divergence; Polya sampling; right censoring;

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This page was last updated on 2009-12-23.

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