Risk of Bayesian inference in misspecified models, and the sandwich covariance matrix (Q2869956)
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scientific article; zbMATH DE number 6243277
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk of Bayesian inference in misspecified models, and the sandwich covariance matrix |
scientific article; zbMATH DE number 6243277 |
Statements
7 January 2014
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posterior variance
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quasi-likelihood
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pseudo-true parameter value
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interval estimation
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Risk of Bayesian inference in misspecified models, and the sandwich covariance matrix (English)
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This is a formal study of the model misspecification impact on the quality of Bayesian inference. The author suggests a superior mode of inference based on the ``sandwich'' covariance matrix. Finally, the proposed asymptotic decision analysis is compared to the standard Bayesian inference based on the likelihood model.
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