Selection of KL neighbourhood in robust Bayesian inference

DOI10.1214/16-STS562zbMath1442.62011MaRDI QIDQ1790360

Natalia A. Bochkina

Publication date: 2 October 2018

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ss/1484816575

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Foundations and philosophical topics in statistics (62A01) General considerations in statistical decision theory (62C05)

Cites Work

• Finite sample Bernstein-von Mises theorem for semiparametric problems
• Sparse regression learning by aggregation and Langevin Monte-Carlo
• The Bernstein-von Mises theorem and nonregular models
• Expert information and nonparametric Bayesian inference of rare events
• Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix
• Bayesian Inference from Composite Likelihoods, with an Application to Spatial Extremes
• Interpreting Statistical Evidence by using Imperfect Models: Robust Adjusted Likelihood Functions
• Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
• Nonparametric estimation of Kullback-Leibler information illustrated by evaluating goodness of fit

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