Arbeitspapier
Rate of Convergence of Predictive Distributions for Dependent Data
This paper deals with empirical processes of the type Cn(B) = n^(1/2) {µn(B) - P(Xn+1 in B | X1, . . . ,Xn)} , where (Xn) is a sequence of random variables and µn = (1/n)SUM(i=1,..,n) d(Xi) the empirical measure. Conditions for supB|Cn(B)| to converge stably (in particular, in distribution) are given, where B ranges over a suitable class of measurable sets. These conditions apply when (Xn) is exchangeable, or, more generally, conditionally identically distributed (in the sense of [6]). By such conditions, in some relevant situations, one obtains that supB|Cn(B)|-P->0 or even that n^(1/2) supB|Cn(B)| converges a.s.. Results of this type are useful in Bayesian statistics.
- Sprache
-
Englisch
- Erschienen in
-
Series: Quaderni di Dipartimento ; No. 091
- Klassifikation
-
Wirtschaft
- Thema
-
Bayesian predictive inference
Central limit theorem
Conditional identity in distribution
Empirical distribution
Exchangeability
Predictive distribution
Stable convergence
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Berti, Patrizia
Crimaldi, Irene
Pratelli, Luca
Rigo, Pietro
- Ereignis
-
Veröffentlichung
- (wer)
-
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
- (wo)
-
Pavia
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Berti, Patrizia
- Crimaldi, Irene
- Pratelli, Luca
- Rigo, Pietro
- Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
Entstanden
- 2009
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