Dynamics of Bayesian updating with dependent data and misspecified models

@inproceedings{Shalizi2009DynamicsOB,
  title={Dynamics of Bayesian updating with dependent data and misspecified models},
  author={Cosma Rohilla Shalizi},
  year={2009}
}
Much is now known about the consistency of Bayesian updating on infinite-dimensional parameter spaces with independent or Markovian data. Necessary conditions for consistency include the prior putting enough weight on the correct neighborhoods of the data-generating distribution; various sufficient conditions further restrict the prior in ways analogous to capacity control in frequentist nonparametrics. The asymptotics of Bayesian updating with mis-specified models or priors, or non-Markovian… CONTINUE READING

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