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Consistency of Empirical Likelihood and Maximum A-Posteriori Probability Under Misspecification

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  • Grendar, Marian
  • Judge, George G.

Abstract

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.

Suggested Citation

  • Grendar, Marian & Judge, George G., 2008. "Consistency of Empirical Likelihood and Maximum A-Posteriori Probability Under Misspecification," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt4b78z47x, Department of Agricultural & Resource Economics, UC Berkeley.
    • Handle: RePEc:cdl:agrebk:qt4b78z47x
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