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February 2006 Nonsubjective priors via predictive relative entropy regret
Trevor J. Sweeting, Gauri S. Datta, Malay Ghosh
Ann. Statist. 34(1): 441-468 (February 2006). DOI: 10.1214/009053605000000804


We explore the construction of nonsubjective prior distributions in Bayesian statistics via a posterior predictive relative entropy regret criterion. We carry out a minimax analysis based on a derived asymptotic predictive loss function and show that this approach to prior construction has a number of attractive features. The approach here differs from previous work that uses either prior or posterior relative entropy regret in that we consider predictive performance in relation to alternative nondegenerate prior distributions. The theory is illustrated with an analysis of some specific examples.


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Trevor J. Sweeting. Gauri S. Datta. Malay Ghosh. "Nonsubjective priors via predictive relative entropy regret." Ann. Statist. 34 (1) 441 - 468, February 2006.


Published: February 2006
First available in Project Euclid: 2 May 2006

zbMATH: 1091.62014
MathSciNet: MR2275249
Digital Object Identifier: 10.1214/009053605000000804

Primary: 62F15
Secondary: 62B10 , 62C20

Keywords: higher-order asymptotics , Nonsubjective Bayesian inference , predictive inference , relative entropy loss

Rights: Copyright © 2006 Institute of Mathematical Statistics


Vol.34 • No. 1 • February 2006
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