Sankhya: The Indian Journal of Statistics
Bayesian Consistency for Markov Processes
Subhashis Ghosal, North Carolina State University, U.S.A.
Yongqiang Tang, SUNY Brooklyn, U.S.A.
SUMMARY. Recently, Walker (2004) developed a martingale based technique for posterior consistency giving a useful alternative to the classical technique based on hypothesis testing for i.i.d. data. In this article, we extend some of his results to ergodic Markov processes.
AMS (2000) subject classification. 62G07, 62G20.
Key words and phrases. Markov process, martingale, posterior consistency, transition density.