Misspecification in infinite-dimensional Bayesian statistics
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Publication:2497184
DOI10.1214/009053606000000029zbMATH Open1095.62031arXivmath/0607023OpenAlexW2112264820MaRDI QIDQ2497184FDOQ2497184
Authors: B. J. K. Kleijn, Aad van der Vaart 
Publication date: 3 August 2006
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We consider the asymptotic behavior of posterior distributions if the model is misspecified. Given a prior distribution and a random sample from a distribution , which may not be in the support of the prior, we show that the posterior concentrates its mass near the points in the support of the prior that minimize the Kullback--Leibler divergence with respect to . An entropy condition and a prior-mass condition determine the rate of convergence. The method is applied to several examples, with special interest for infinite-dimensional models. These include Gaussian mixtures, nonparametric regression and parametric models.
Full work available at URL: https://arxiv.org/abs/math/0607023
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