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We empirically show that Bayesian inference can be inconsistent under misspecification in simple linear regression problems, both in a model averaging/selection and in a Bayesian ridge regression setting.
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Richard Royall and Tsung-Shan Tsou · 2003
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T. van Erven, P. Grünwald, W. Koolen, and S. de Rooij · 2011
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P. D. Grünwald · 2011
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Simon Lacoste-Julien, Ferenc Huszár, and Zoubin Ghahramani · 2011
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P. D. Grünwald · 2012
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A. Gelman, J. B. Carlin, H. S. Stern, D. B. Dunson, A. Vehtari, and D. B. Rubin · 2013
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Posterior consistency of Bayesian quantile regression based on the misspecified asymmetric Laplace density
Karthik Sriram, R. V. Ramamoorthi, and Pulak Ghosh · 2013
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S. de Rooij, T. van Erven, P. Grünwald, and W. Koolen · 2014
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