Question
Consider the setup of the theorem on asymptotic normality of posterior distribution (Theorem 4.2 of the book by Ghosh et al. (2006)), proved in
Consider the setup of the theorem on asymptotic normality of posterior distribution (Theorem 4.2 of the book by Ghosh et al. (2006)), proved in the class for a proper prior. (a) Suppose that the prior is improper but there is an no such that the posterior distribution of 0 given x1, . . . , xn0 is proper for a.e. (x1, . . . , xn0 ). Show that the theorem holds also in this case. (b) In addition to the assumptions of Theorem 4.2, assume that the prior density (0) has a finite expectation. Proceeding as in the proof of Theorem 4.2 and using the assumption of finite expectation for , show that VI(00)-1(00)| dt 0 Stela (X, ... , Xxn) - with Peo-probability one. 2
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Probability And Statistics
Authors: Morris H. DeGroot, Mark J. Schervish
4th Edition
9579701075, 321500466, 978-0176861117, 176861114, 978-0134995472, 978-0321500465
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