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.

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Year of publication:	2008-02-20
Authors:	Grendar, Marian ; Judge, George G.
Institutions:	Department of Agricultural and Resource Economics, University of California-Berkeley
Subject:	Maximum Non-parametric Likelihood \| estimating equations \| Bayesian nonparametric consistency \| Bayesian Large Deviations \| L-divergence \| Polya sampling \| right censoring

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Extent:	application/pdf
Series:	Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Department of Agricultural and Resource Economics, UCB
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010537314