Bernstein von-Mises Theorem for g-prior and nonlocal prior

Xiao Fang; Malay Ghosh

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arXiv · 2401.14584

Bernstein von-Mises Theorem for g-prior and nonlocal prior

Xiao Fang·Malay Ghosh

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Abstract

The paper develops Bernstein von Mises Theorem under hierarchical $g$ -priors for linear regression models. The results are obtained both when the error variance is known, and also when it is unknown. An inverse gamma prior is attached to the error variance in the later case. The paper also demonstrates some connection between the total variation and $\alpha$-divergence measures.

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Xiao Fang, Malay Ghosh. 2024-01-26. Bernstein von-Mises Theorem for g-prior and nonlocal prior. https://arxiv.org/abs/2401.14584

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