Consistency of Empirical Likelihood and Maximum A-Posteriori Probability Under Misspecification
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.
|Date of creation:||20 Feb 2008|
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