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Examples of inconsistent Bayes procedures based on observations on dynamical systems

Author

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  • Berliner, L. Mark
  • MacEachern, Steven N.

Abstract

We consider observations from distributions whose parameters evolve according to dynamical systems. Under conditions on the prior distribution for the unknown initial condition, it is shown that the posterior distribution does not concentrate as the sample size grows.

Suggested Citation

  • Berliner, L. Mark & MacEachern, Steven N., 1993. "Examples of inconsistent Bayes procedures based on observations on dynamical systems," Statistics & Probability Letters, Elsevier, vol. 17(5), pages 355-360, August.
    • Handle: RePEc:eee:stapro:v:17:y:1993:i:5:p:355-360
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    Cited by:

    1. Du, Hailiang & Smith, Leonard A., 2017. "Rising above chaotic likelihoods," LSE Research Online Documents on Economics 87083, London School of Economics and Political Science, LSE Library.
    2. James Berger & Elías Moreno & Luis Pericchi & M. Bayarri & José Bernardo & Juan Cano & Julián Horra & Jacinto Martín & David Ríos-Insúa & Bruno Betrò & A. Dasgupta & Paul Gustafson & Larry Wasserman &, 1994. "An overview of robust Bayesian analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 3(1), pages 5-124, June.

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