Some Remarks on Consistency and Strong Inconsistency of Bayesian Inference
The paper provides new sufficient conditions for consistent and coherent Bayesian inference when a model is invariant under some group of transformations. Building on our theoretical results we reexamine an example from Stone (1976) giving some new insights. The priors for multivariate normal models and Structural Vector AutoRegression models that entail consistent and coherent Bayesian inference are also discussed.
|Date of creation:||08 Feb 2011|
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- James Zidek, 1969. "A representation of Bayes invariant procedures in terms of Haar measure," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 291-308, December.
- Dreze, Jacques H, 1976. "Bayesian Limited Information Analysis of the Simultaneous Equations Model," Econometrica, Econometric Society, vol. 44(5), pages 1045-1075, September.
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