Approximation of improper priors

DOI10.3150/15-BEJ708MaRDI QIDQ282558zbMATH OpenFDO

Authors Christele Bioche, Pierre Druilhet

Publication date 12 May 2016

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.1067, https://projecteuclid.org/euclid.bj/1458132996

zbMATH Keywords

Jeffreys priorapproximation of improper priorsconjugate priorsconvergence of priorJeffreys-Lindley paradoxnon-informative priorsvague priors

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Bayesian problems; characterization of Bayes procedures (62C10)

Abstract: We propose a convergence mode for positive Radon measures which allows a sequence of probability measures to have an improper limiting measure. We define a sequence of vague priors as a sequence of probability measures that converges to an improper prior. We consider some cases where vague priors have necessarily large variances and other cases where they have not. We study the consequences of the convergence of prior distributions on the posterior analysis. Then we give some constructions of vague priors that approximate the Haar measures or the Jeffreys priors. We also revisit the Jeffreys-Lindley paradox.

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Cited in

(8)

• Infinite hierarchies and prior distributions
• On the Flatland paradox and limiting arguments
• Discussion of: ``Specifying prior distributions in reliability applications: towards new formal rules for informative prior elicitation?
• Improper versus finitely additive distributions as limits of countably additive probabilities
• Conditional probability and improper priors
• On the proper treatment of improper distributions
• The conflict between improper priors and robustness
• Permissible boundary prior function as a virtually proper prior density

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