Frequentistic approximations to Bayesian prevision of exchangeable random elements

DOI10.1016/J.IJAR.2016.06.007MaRDI QIDQ324676zbMATH OpenOpenAlexFDO

Authors D. Michele Cifarelli, Emanuele Dolera, Eugenio Regazzini

Publication date 17 October 2016

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.01269

zbMATH Keywords

exchangeabilityrandom measuresasymptotics of prior and posterior distributionsinverse probabilitiesprobability distances

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Nonparametric estimation (62G05)

Abstract: Given a sequence xi_1, xi_2,... of X-valued, exchangeable random elements, let q(xi^(n)) and p_m(xi^(n)) stand for posterior and predictive distribution, respectively, given xi^(n) = (xi_1,..., xi_n). We provide an upper bound for limsup b_n d_X(q(xi^(n)), delta_empiricn) and limsup b_n d_[X^m](p_m(xi^(n)), empiricn^m), where empiricn is the empirical measure, b_n is a suitable sequence of positive numbers increasing to +infty, d_X and d_[X^m] denote distinguished weak probability distances on X and [X^m], respectively, with the proviso that [S] denotes the space of all probability measures on S. A characteristic feature of our work is that the aforesaid bounds are established under the law of the xi_n's, unlike the more common literature on Bayesian consistency, where they are studied with respect to product measures (p_0)^infty, as p_0 varies among the admissible determinations of a random probability measure.

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Cited in

(6)

• Approximation of Bayesian models for time-to-event data
• Uniform rates of the Glivenko-Cantelli convergence and their use in approximating Bayesian inferences
• Asymptotic predictive inference with exchangeable data
• Note on ``Frequentistic approximations to Bayesian prevision of exchangeable random elements
• Lipschitz continuity of probability kernels in the optimal transport framework
• Asymptotics of predictive distributions

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