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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2002 Volume 47, Issue 2, Pages 229–254 (Mi tvp3616)

On consistency of Bayes procedures

A. I. Loa, V. V. Sazonovb

a Department of Mathematics The Hong Kong University of Science and Technology
b Steklov Mathematical Institute, Russian Academy of Sciences

Abstract: For a wide class of statistical models with $\sigma$-finite priors, sufficient conditions for consistency of Bayes procedures for almost all values of the parameter are given. For a more restrictive class of invariant statistical models with some $\sigma$-finite priors, we give sufficient conditions for consistency of Bayes procedures for all values of the parameter. Particular cases of these invariant statistical models include the location model on a locally compact Polish group, rotation invariant families on the unit sphere in $\mathbf{R}^k$, and the scale-location model in $\mathbf{R}^k$.

Keywords: consistency, Bayes estimates, invariant Markov kernels, posterior distributions, invariant probability, statistical models.

Received: 12.03.2001

DOI: 10.4213/tvp3616


 English version:
Theory of Probability and its Applications, 2003, 47:2, 236–256

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© Steklov Math. Inst. of RAS, 2024