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October 1999 Consistency and strong inconsistency of group-invariant predictive inferences
Morris L. Eaton, William D. Sudderth
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Bernoulli 5(5): 833-854 (October 1999).

Abstract

Consider a statistical model which is invariant under a group of transformations that acts transitively on the parameter space. In this situation, the problem of constructing invariant predictive distributions is considered. It is shown, under certain assumptions, that Fisherian pivoting and the use of right Haar measure as an improper prior distribution both yield the same invariant predictive distribution. Furthermore, it is shown that any other invariant predictive distribution is strongly inconsistent in the sense of Stone.

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Morris L. Eaton. William D. Sudderth. "Consistency and strong inconsistency of group-invariant predictive inferences." Bernoulli 5 (5) 833 - 854, October 1999.

Information

Published: October 1999
First available in Project Euclid: 12 February 2007

zbMATH: 0983.62004
MathSciNet: MR1715441

Keywords: Fisherian pivoting , Improper prior distributions , invariant predictive distribution , proper action , right Haar measure , strong inconsistency

Rights: Copyright © 1999 Bernoulli Society for Mathematical Statistics and Probability

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Vol.5 • No. 5 • October 1999
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