Rate of convergence of predictive distributions for dependent data

Details Rate of convergence of predictive distributions for dependent data Rate of convergence of predictive distributions for dependent data

2010-01-13

arxiv.org/abs/1001.2152v1

Bernoulli 2009, Vol. 15, No. 4, 1351-1367

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/09-BEJ191 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/09-BEJ191

This paper deals with empirical processes of the type \[C_n(B)=\sqrt{n}\{\mu_n(B)-P(X_{n+1}\in B\mid X_1,...,X_n)\},\] where $(X_n)$ is a sequence of random variables and $\mu_n=(1/n)\sum_{i=1}^n\delta_{X_i}$ the empirical measure. Conditions for $\sup_B|C_n(B)|$ to converge stably (in particular, in distribution) are given, where $B$ ranges over a suitable class of measurable sets. These conditions apply when $(X_n)$ is exchangeable or, more generally, conditionally identically distributed (in the sense of Berti et al. [Ann. Probab. 32 (2004) 2029--2052]). By such conditions, in some relevant situations, one obtains that $\sup_B|C_n(B)|\stackrel{P}{\to}0$ or even that $\sqrt{n}\sup_B|C_n(B)|$ converges a.s. Results of this type are useful in Bayesian statistics.

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