Frequentistic approximations to Bayesian prevision of exchangeable random elements

DOI10.1016/J.IJAR.2016.06.007zbMATH OpenNonearXiv1602.01269OpenAlexW2964108671MaRDI QIDQ324676FDOQ324676

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)

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.

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

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zbMATH Keywords

exchangeabilityrandom measuresasymptotics of prior and posterior distributionsinverse probabilitiesprobability distances

Mathematics Subject Classification ID

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

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Cited In (6)

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

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