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math.ST2021
Extended probabilities and their application to statistical inference
Michele Caprio, Sayan Mukherjee
We propose a new, more general definition of extended probability measures. We study their properties and provide a behavioral interpretation. We put them to use in an inference pr…
math.ST2021
Large Deviation Asymptotics and Bayesian Posterior Consistency on Stochastic Processes and Dynamical Systems
Langxuan Su, Sayan Mukherjee
We consider generalized Bayesian inference on stochastic processes and dynamical systems with potentially long-range dependency. Given a sequence of observations, a class of parame…