Abstract
The paper presents new measures of divergence between prior and posterior which are maximized by the Jeffreys prior. We provide two methods for proving this, one of which provides an easy to verify sufficient condition. We use such divergences to measure information in a prior and also obtain new objective priors outside the class of Bernardo’s reference priors.
Citation
Ruitao Liu. Arijit Chakrabarti. Tapas Samanta. Jayanta K. Ghosh. Malay Ghosh. "On Divergence Measures Leading to Jeffreys and Other Reference Priors." Bayesian Anal. 9 (2) 331 - 370, June 2014. https://doi.org/10.1214/14-BA862
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