The Formal Definition of Reference Priors

Reference analysis produces objective Bayesian inference, in the sense that inferential statements depend only on the assumed model and the available data, and the prior distribution used to make an inference is least informative in a certain information-theoretic sense. Reference priors have been r... Ausführliche Beschreibung

1. Person: Berger, James O.
Weitere Personen: Bernardo, José M. verfasserin; Sun, Dongchu verfasserin
Quelle: in The annals of statistics : an official journal of the Institute of Mathematical Statistics Vol. 37, No. 2 (2009), p. 905-938
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Format: Online-Artikel
Sprache: English
Veröffentlicht: 2009
Beschreibung: Online-Ressource
Schlagworte: research-article
Primary 62F15
secondary 62A01
secondary 62B10
Amount of information
Bayesian asymptotics
consensus priors
Fisher information
Jeffreys priors
noninformative priors
objective priors
reference priors
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Anmerkung: Copyright: Copyright 2009 Institute of Mathematical Statistics
Zusammenfassung: Reference analysis produces objective Bayesian inference, in the sense that inferential statements depend only on the assumed model and the available data, and the prior distribution used to make an inference is least informative in a certain information-theoretic sense. Reference priors have been rigorously defined in specific contexts and heuristically defined in general, but a rigorous general definition has been lacking. We produce a rigorous general definition here and then show how an explicit expression for the reference prior can be obtained under very weak regularity conditions. The explicit expression can be used to derive new reference priors both analytically and numerically.
ISSN: 0090-5364

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