On the validity of the formal Edgeworth expansion for posterior densities (Q2215719)

The authors establish validity of a formal Edgeworth expansion for the posterior density in a Bayesian setting. Under some regularity conditions (including, for example, differentiability, continuity and measurability conditions), they establish the order of the error in approximating the posterior density of \((\theta-\theta_0)/\sigma\) by an Edgeworth expansion involving Hermite polynomials and the cumulants of this statistic, where \(\theta\) is the relevant parameter, and \(\theta_0\) and \(\sigma\) are its posterior mean and standard deviation, respectively. A similar result is also established for the posterior distribution function. These results require estimates of the asymptotic order of posterior cumulants which the authors establish. The paper concludes with a comparison of the authors' results with other, existing expansions (including those in which \(\theta\) is normalised using the MLE and observed information, for example) and numerical illustrations of the present results.