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Some Remarks on Consistency and Strong Inconsistency of Bayesian Inference

Kociecki, Andrzej (2011): Some Remarks on Consistency and Strong Inconsistency of Bayesian Inference.

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Abstract

The paper provides new sufficient conditions for consistent and coherent Bayesian inference when a model is invariant under some group of transformations. Building on our theoretical results we reexamine an example from Stone (1976) giving some new insights. The priors for multivariate normal models and Structural Vector AutoRegression models that entail consistent and coherent Bayesian inference are also discussed.

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