Asymptotic Normality of Posterior Distributions for Exponential Families when the Number of Parameters Tends to Infinity

We study consistency and asymptotic normality of posterior distributions of the natural parameter for an exponential family when the dimension of the parameter grows with the sample size. Under certain growth restrictions on the dimension, we show that the posterior distributions concentrate in neighbourhoods of the true parameter and can be approximated by an appropriate normal distribution.

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Year of publication:	2000
Authors:	Ghosal, Subhashis
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 74.2000, 1, p. 49-68
Publisher:	Elsevier
Subject:	exponential family \| normal approximation \| posterior consistency \| posterior distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005106937