Consistency of Empirical Likelihood and Maximum A-Posteriori Probability Under Misspecification

Using a large deviations approach, Maximum A-Posteriori Probability (MAP) and Empirical Likelihood (EL) are shown to possess, under misspecification, an exclusive property of Bayesian consistency. Under conditions of consistency, regardless of prior the MAP estimator asymptotically coincides with EL. The consistency property is also studied for sampling processes other than iid.


Issue Date:
2008
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/6053
Total Pages:
16
Series Statement:
CUDARE Working Paper
1052




 Record created 2017-04-01, last modified 2017-11-16

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)