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The Extent of Dilation of Sets of Probabilities and the Asymptotics of Robust Bayesian Inference

Timothy Herron, Teddy Seidenfeld and Larry Wasserman
PSA: Proceedings of the Biennial Meeting of the Philosophy of Science Association
Vol. 1994, Volume One: Contributed Papers (1994), pp. 250-259
Stable URL: http://www.jstor.org/stable/193030
Page Count: 10
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The Extent of Dilation of Sets of Probabilities and the Asymptotics of Robust Bayesian Inference
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Abstract

We report two issues concerning diverging sets of Bayesian (conditional) probabilities-divergence of "posteriors"-that can result with increasing evidence. Consider a set P of probabilities typically, but not always, based on a set of Bayesian "priors." Fix E, an event of interest, and X, a random variable to be observed. With respect to P, when the set of conditional probabilities for E, given X, strictly contains the set of unconditional probabilities for E, for each possible outcome X = x, call this phenomenon dilation of the set of probabilities (Seidenfeld and Wasserman 1993). Thus, dilation contrasts with the asymptotic merging of posterior probabilities reported by Savage (1954) and by Blackwell and Dubins (1962). (1) In a wide variety of models for Robust Bayesian inference the extent to which X dilates E is related to a model specific index of how far key elements of P are from a distribution that makes X and E independent. (2) At a fixed confidence level, (1-α), Classical interval estimates An for, e.g., a Normal mean θ have length O(n-1/2) (for sample size n). Of course, the confidence level correctly reports the (prior) probability that θ ∈ An,P(An)=1-α , independent of the prior for θ . However, as shown by Pericchi and Walley (1991), if an ε -contamination class is used for the prior on the parameter θ , there is asymptotic (posterior) dilation for the An, given the data. If, however, the intervals An are chosen with length $O(\sqrt{\log (\text{n})/\text{n})}$, then there is no asymptotic dilation. We discuss the asymptotic rates of dilation for ClassClassical and Bayesian interval estimates and relate these to Bayesian hypothesis testing.

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