Rate of convergence of predictive distributions for dependent data

DOI10.3150/09-BEJ191MaRDI QIDQ605900zbMATH OpenOpenAlexFDO

Authors Patrizia Berti, Irene Crimaldi, Luca Pratelli, Pietro Rigo

Publication date 15 November 2010

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.2152

zbMATH Keywords

central limit theoremexchangeabilityempirical distributionpredictive distributionstable convergenceconditional identity in distributionBayesian predictive inference

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05)

Abstract: This paper deals with empirical processes of the type [C_n(B)=sqrt{n}{mu_n(B)-P(X_{n+1}in Bmid X_1,...,X_n)},] where $(X_n)$ is a sequence of random variables and $m{u}_n=(1/n)su{m}_{i=1}^{n}delt{a}_{X_i}$ the empirical measure. Conditions for $su{p}_B|C_n(B)|$ to converge stably (in particular, in distribution) are given, where $B$ ranges over a suitable class of measurable sets. These conditions apply when $(X_n)$ is exchangeable or, more generally, conditionally identically distributed (in the sense of Berti et al. [Ann. Probab. 32 (2004) 2029--2052]). By such conditions, in some relevant situations, one obtains that $su{p}_B|C_n(B)|stackrelPo0$ or even that $sqrtnsu{p}_B|C_n(B)|$ converges a.s. Results of this type are useful in Bayesian statistics.

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Cited in

(18)

• On universal algorithms for classifying and predicting stationary processes
• Asymptotic behaviour of the empirical process for exchangeable data
• Central limit theorems for an Indian buffet model with random weights
• Uniform rates of the Glivenko-Cantelli convergence and their use in approximating Bayesian inferences
• Asymptotics of certain conditionally identically distributed sequences
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• Learning Theory
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