Remarks on consistency of posterior distributions

Abstract

In recent years, the literature in the area of Bayesian asymptotics has been rapidly growing. It is increasingly important to understand the concept of posterior consistency and validate specific Bayesian methods, in terms of consistency of posterior distributions. In this paper, we build up some conceptual issues in consistency of posterior distributions, and discuss panoramic views of them by comparing various approaches to posterior consistency that have been investigated in the literature. In addition, we provide interesting results on posterior consistency that deal with non-exponential consistency, improper priors and non i.i.d. (independent but not identically distributed) observations. We describe a few examples for illustrative purposes.

arXiv commentPublished in at http://dx.doi.org/10.1214/074921708000000138 the IMS Collections (http://www.imstat.org/publications/imscollections.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)

References in corpus (2)

• Rates of contraction of posterior distributions based on Gaussian process priors
• New approaches to Bayesian consistency

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