On Bayesian Consistency
Stephen Graham Walker, Nils Lid Hjort · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2001
Summary We consider a sequence of posterior distributions based on a data-dependent prior (which we shall refer to as a pseudoposterior distribution) and establish simple conditions under which the sequence is Hellinger consistent. It is shown how investigations into these pseudo posteriors assist with the understanding of some true posterior distributions, including Pólya trees, the infinite dimensional exponential family and mixture models.