On Rates of Convergence for Posterior Distributions Under Misspecification

DOI10.1080/03610920802478375MaRDI QIDQ3391835zbMATH OpenOpenAlexFDO

Authors Heng Lian

Publication date 13 August 2009

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0702126

zbMATH Keywords

alpha coveringBayesian nonparametricsprior misspecificationsupermartingales

Mathematics Subject Classification ID

Bayesian inference (62F15) Asymptotic properties of nonparametric inference (62G20)

Abstract: We extend the approach of Walker (2003, 2004) to the case of misspecified models. A sufficient condition for establishing rates of convergence is given based on a key identity involving martingales, which does not require construction of tests. We also show roughly that the result obtained by using tests can also be obtained by our approach, which demonstrates the potential wider applicability of this method.

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Cites work

• Convergence rates of posterior distributions.
• Information-theoretic determination of minimax rates of convergence
• Misspecification in infinite-dimensional Bayesian statistics
• New approaches to Bayesian consistency
• On Bayes procedures
• On rates of convergence for posterior distributions in infinite-dimensional models
• On sufficient conditions for Bayesian consistency
• On the consistency of Bayes estimates
• Rates of convergence of posterior distributions.

Cited in

(9)

• Contextuality of misspecification and data-dependent losses
• Asymptotic properties of posterior distributions derived from misspecified models
• Convergence rates for posterior distributions and adaptive estimation
• The Bernstein-von Mises theorem under misspecification
• Dynamics of Bayesian updating with dependent data and misspecified models
• Misspecification in infinite-dimensional Bayesian statistics
• On posterior concentration in misspecified models
• Consistency of posterior distributions for heteroscedastic nonparametric regression models
• Bayesian Distributionally Robust Optimization

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