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Berger, James O.; Bernardo, Jose M.; Sun, Dongchu

Overall objective priors. (English) Zbl 1335.62039

Bayesian Anal. 10, No. 1, 189-221 (2015).
Summary: In multi-parameter models, reference priors typically depend on the parameter or quantity of interest, and it is well known that this is necessary to produce objective posterior distributions with optimal properties. There are, however, many situations where one is simultaneously interested in all the parameters of the model or, more realistically, in functions of them that include aspects such as prediction, and it would then be useful to have a single objective prior that could safely be used to produce reasonable posterior inferences for all the quantities of interest. In this paper, we consider three methods for selecting a single objective prior and study, in a variety of problems including the multinomial problem, whether or not the resulting prior is a reasonable overall prior.

Cited in 6 Reviews
Cited in 37 Documents

MSC:

62F15 Bayesian inference
62E15 Exact distribution theory in statistics

Keywords:

joint reference prior; logarithmic divergence; multinomial model; objective priors; reference analysis
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Full Text: DOI arXiv Euclid

References:

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