Bayesian Analysis

Overall Objective Priors

Abstract

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.

Article information

Source
Bayesian Anal., Volume 10, Number 1 (2015), 189-221.

Dates
First available in Project Euclid: 29 January 2015

Permanent link to this document
https://projecteuclid.org/euclid.ba/1422556416

Digital Object Identifier
doi:10.1214/14-BA915

Mathematical Reviews number (MathSciNet)
MR3420902

Zentralblatt MATH identifier
1335.62039

Citation

Berger, James O.; Bernardo, Jose M.; Sun, Dongchu. Overall Objective Priors. Bayesian Anal. 10 (2015), no. 1, 189--221. doi:10.1214/14-BA915. https://projecteuclid.org/euclid.ba/1422556416

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