Discussion of "Objective Priors: An Introduction for Frequentists" by M. Ghosh
Discussion of "Objective Priors: An Introduction for Frequentists" by M. Ghosh [arXiv:1108.2120]
stat.ME↗
arXiv subjects
José M. Bernardo
Publications and source records attributed to José M. Bernardo.
Comment on "Harold Jeffreys's Theory of Probability Revisited"
Comment on "Harold Jeffreys's Theory of Probability Revisited" [arXiv:0804.3173]
stat.ME↗
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 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.
math.ST↗