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VOL. 45 | 2004 Evaluating improper priors and the recurrence of symmetric Markov chains: an overview


Given a parametric statistical model, an improper prior distribution can often be used to induce a proper posterior distribution (an inference). This inference can then be used to solve decision problems once an action space and loss have been specified. One way to evaluate the inference is to ask for which estimation problems does the above formal Bayes method produce admissible estimators. The relationship of this problem to the recurrence of an associated symmetric Markov chain is reviewed.


Published: 1 January 2004
First available in Project Euclid: 28 November 2007

zbMATH: 1268.62010
MathSciNet: MR2126883

Digital Object Identifier: 10.1214/lnms/1196285376

Primary: 62A01 , 62C15 , 62F15

Keywords: Admissibility , formal Bayes rules , Markov chains

Rights: Copyright © 2004, Institute of Mathematical Statistics


Vol. 45 • 1 January 2004
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