Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/17296
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dc.contributor.authorR. V, Ramamoorthi
dc.contributor.authorSriram, Karthik
dc.contributor.authorRyan, Martin
dc.date.accessioned2016-01-08T06:31:19Z
dc.date.available2016-01-08T06:31:19Z
dc.date.copyright2015
dc.date.issued2015
dc.identifier.citationRamamoorthi, R. V., Sriram, K., & Martin, R. (2015). On posterior concentration in misspecified models. Bayesian Analysis.en_US
dc.identifier.issn1931-6690
dc.identifier.urihttp://hdl.handle.net/11718/17296
dc.description.abstractWe investigate the asymptotic behavior of Bayesian posterior distributions under independent and identically distributed (i.i.d.i.i.d.) misspecified models. More specifically, we study the concentration of the posterior distribution on neighborhoods of f⋆f⋆, the density that is closest in the Kullback–Leibler sense to the true model f0f0. We note, through examples, the need for assumptions beyond the usual Kullback–Leibler support assumption. We then investigate consistency with respect to a general metric under three assumptions, each based on a notion of divergence measure, and then apply these to a weighted L1L1-metric in convex models and non-convex models. Although a few results on this topic are available, we believe that these are somewhat inaccessible due, in part, to the technicalities and the subtle differences compared to the more familiar well-specified model case. One of our goals is to make some of the available results, especially that of Kleijn and van der Vaart (2006), more accessible. Unlike their paper, our approach does not require construction of test sequences. We also discuss a preliminary extension of the i.i.d.i.i.d. results to the independent but not identically distributed (i.n.i.d.i.n.i.d.) case.en_US
dc.language.isoenen_US
dc.publisherInternational Society for Bayesian Analysisen_US
dc.subjectBayesianen_US
dc.subjectConsistencyen_US
dc.subjectMisspecifieden_US
dc.subjectKullback–Leibleren_US
dc.titleOn posterior concentration in misspecified modelsen_US
dc.typeArticleen_US
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