Asymptotic normality of the posterior in relative entropy

被引：18

作者：

Clarke, BS ^{[1
]}

机构：

[1] Univ British Columbia, Dept Stat, Vancouver, BC V6T 1Z2, Canada

来源：

IEEE TRANSACTIONS ON INFORMATION THEORY | 1999年 / 45卷 / 01期

基金：

加拿大自然科学与工程研究理事会;

关键词：

asymptotic normality; posterior density; relative entropy;

D O I：

10.1109/18.746784

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We show that the relative entropy between a posterior density formed from a smooth likelihood and prior and a limiting normal form tends to zero in the independent and identically distributed case. The mode of convergence is in probability and in mean. Applications to codelengths in stochastic complexity and to sample size selection are briefly discussed.

引用

页码：165 / 176

页数：12

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