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Dynamics of Bayesian Updating with Dependent Data and Misspecified Models
Dynamics Bayesian Updating Dependent Data Misspecified Models
2010/3/17
Much is now known about the consistency of Bayesian updat-
ing on infinite-dimensional parameter spaces with independent or Marko-
vian data. Necessary conditions for consistency include the prior p...
On the Selection of Irregular，Misspecified Regression Models：a Comment on Folklore
Consistency misspecified models model selection regression
2009/3/5
In this paper we will investigate the consequences of applying model selection methods under regularity conditions that are sufficiently general to encompass (i) stochastic models involving non-statio...
Recursive estimation of possibly misspecified MA(1) models：Convergence of a general algorithm
time series Robbins-Monro PLR AML RML1 RML2 misspecified models
2010/4/27
We introduce a recursive algorithm of conveniently general form
for estimating the coefficient of a moving average model of order one and
obtain convergence results for both correct and misspecified...