Posterior consistency in misspecified models for i.n.i.d response

Abstract

We derive conditions for posterior consistency when the responses are independent but not identically distributed ($i.n.i.d$) and the model is "misspecified" to be a family of densities parametrized by a possibly infinite dimensional parameter. Our approach has connections to key ideas developed for $i.i.d$ models in Kleijn and van der Vaart(2006) and it's subsequent simplification in Ramamoorthi, et al.(2014) (unpublished manuscript). While key results in these two papers rely heavily on the convexity of the specified family of densities, parametric families are seldom convex. In this note, we take a direct approach to deriving posterior consistency with respect to natural topologies on the parameter space without having to impose conditions on the convex hull of the parametric family. We first derive our results for the case when the responses are $i.i.d$ and then extend it to the $i.n.i.d$ case. As an example, we demonstrate the applicability of the results to the Bayesian quantile estimation problem.