Posterior distribution of nondifferentiable functions

DOI10.1016/J.JECONOM.2019.10.009MaRDI QIDQ2190216zbMATH OpenOpenAlexWikidataFDO

Authors Toru Kitagawa, José Luis Montiel Olea, Jonathan Payne, Amilcar Velez

Publication date 18 June 2020

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.10.009

zbMATH Keywords

Bernstein-von Mises theorembootstrapdirectional differentiabilityposterior inference

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15) Nonparametric statistical resampling methods (62G09) Applications of statistics to economics (62P20)

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• The numerical delta method
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Cited in

(3)

• Impossibility results for nondifferentiable functionals
• scientific article; zbMATH DE number 1423117 (Why is no real title available?)
• Classical \(p\)-values and the Bayesian posterior probability that the hypothesis is approximately true

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• ElemStatLearn

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