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March 2015 Overall Objective Priors
James O. Berger, Jose M. Bernardo, Dongchu Sun
Bayesian Anal. 10(1): 189-221 (March 2015). DOI: 10.1214/14-BA915

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.

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James O. Berger. Jose M. Bernardo. Dongchu Sun. "Overall Objective Priors." Bayesian Anal. 10 (1) 189 - 221, March 2015. https://doi.org/10.1214/14-BA915

Information

Published: March 2015
First available in Project Euclid: 29 January 2015

zbMATH: 1335.62039
MathSciNet: MR3420902
Digital Object Identifier: 10.1214/14-BA915

Rights: Copyright © 2015 International Society for Bayesian Analysis

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Vol.10 • No. 1 • March 2015
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