Fudenberg, Drew; Lanzani, Giacomo; Strack, Philipp - In: Theoretical economics : TE ; an open access journal in … 18 (2023) 4, pp. 1585-1622
We show that Bayesian posteriors concentrate on the outcome distributions that approximately minimize the Kullback–Leibler divergence from the empirical distribution, uniformly over sample paths, even when the prior does not have full support. This generalizes Diaconis and Freedman's (1990)...