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
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
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
-
20.09.2024, 08:21 MESZ
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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