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Contributions to the understanding of Bayesian consistency

  • Antonio Lijoi

    ()

  • Igor Prünster

    ()

  • Stephen G. Walker

    ()

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    Consistency of Bayesian nonparametric procedures has been the focus of a considerable amount of research. Here we deal with strong consistency for Bayesian density estimation. An awkward consequence of inconsistency is pointed out. We investigate reasons for inconsistency and precisely identify the notion of “data tracking”. Specific examples in which this phenomenon can not occur are discussed. When it can happen, we show how and where things can go wrong, in particular the type of sets where the posterior can put mass.

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    File URL: http://servizi.sme.unito.it/icer_repec/RePEc/icr/wp2004/Pruenster13-04.pdf
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    Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 13-2004.

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    Length: 21 pages
    Date of creation: Nov 2004
    Date of revision:
    Handle: RePEc:icr:wpmath:13-2004
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