Risk of Bayesian Inference in Misspeci fi ed Models , and the Sandwich Covariance Matrix ∗

@inproceedings{Mller2009RiskOB,
  title={Risk of Bayesian Inference in Misspeci fi ed Models , and the Sandwich Covariance Matrix ∗},
  author={Ulrich K. M{\"u}ller},
  year={2009}
}
It is well known that in misspecified parametric models, the maximum likelihood estimator (MLE) is consistent for the pseudo-true value and has an asymptotically normal sampling distribution with "sandwich" covariance matrix. Also, posteriors are asymptotically centered at the MLE, normal and of asymptotic variance that is in general different than the… CONTINUE READING