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

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  • Grendar, Marian
  • Judge, George G.
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    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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    Bibliographic 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 qt4b78z47x.

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    Date of creation: 20 Feb 2008
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    Handle: RePEc:cdl:agrebk:qt4b78z47x

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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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