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Some Remarks on Consistency and Strong Inconsistency of Bayesian Inference

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  • Kociecki, Andrzej

Abstract

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.

Suggested Citation

  • Kociecki, Andrzej, 2011. "Some Remarks on Consistency and Strong Inconsistency of Bayesian Inference," MPRA Paper 28731, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:28731
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    File URL: https://mpra.ub.uni-muenchen.de/28731/2/MPRA_paper_28731.pdf
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    References listed on IDEAS

    as
    1. Dreze, Jacques H, 1976. "Bayesian Limited Information Analysis of the Simultaneous Equations Model," Econometrica, Econometric Society, vol. 44(5), pages 1045-1075, September.
    2. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    invariant models; coherence; strong inconsistency; groups;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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