A frequentist approach to Bayesian asymptotics

• Main Authors: CHENG, Tingting, GAO, Jiti, PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: Bayesian average; Conditional mean estimation; Ergodic theorem; Summary statistic; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2348; https://ink.library.smu.edu.sg/context/soe_research/article/3347/viewcontent/Frequentist_App_Baynesian_Asymptotics_sv.pdf
• Institution: Singapore Management University

Ergodic theorem shows that ergodic averages of the posterior draws converge in probability to the posterior mean under the stationarity assumption. The literature also shows that the posterior distribution is asymptotically normal when the sample size of the original data considered goes to infinity...