Coherent and continuous inference

DOI10.1214/AOS/1176346062MaRDI QIDQ5895476zbMATH OpenOpenAlexFDO

Authors David A. Lane, William D. Sudderth

Publication date 1983

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176346062

zbMATH Keywords

coherencecontinuous inferencecountably additivefinitely additive priorsproper priors

Mathematics Subject Classification ID

Axioms; other general questions in probability (60A05) Foundations and philosophical topics in statistics (62A01)

Review text

Suppose X and \(\Theta\) are the sample space of some experiment and the set of possible states of nature, respectively. Suppose \(p_{\theta}\) is the distribution of X given \(\theta\) and \(q_ x\) is a distribution on \(\Theta\) given x. If a bookie uses \(q_ x\) to construct a conditional odds function to post odds on subsets of \(\Theta\) after observing X, then q is called coherent if it is impossible for a gambler to devise a betting scheme based on q consisting of placing a finite number of bets on subsets of \(\Theta\) after observing X and which has expected payoff bounded above 0 for all \(\theta\). \textit{D. Heath} and the second author [Ann. Stat. 6, 333-345 (1978; Zbl 0385.62005)] showed that coherent references are posterior distributions of proper, finitely additive priors on \(\Theta\). Here, the authors show the priors may be required to be countably additive, provided \(\Theta\) and X are separable metric spaces at least one of which is compact, and all \(p_{\theta}\) and \(q_ x\) are countably additive and weakly continuous. They include several informative examples and relate their work to that of several other authors. For example, they show coherence is equivalent to the denial of strong inconsistency, as defined in \textit{M. Stone}, J. Am. Stat. Assoc. 71, 114-125 (1976; Zbl 0335.62026).

Recommendations

• Coherent and continuous inference
• Fully coherent inference
• Coherent inference from improper priors and from finitely additive priors
• Coherent statistical inference and Bayes theorem
• Coherent inferences and improper priors

Cited in

(15)

• Coherent predictions are strategic
• De Finetti's coherence and statistical inference
• Fully coherent inference
• Coherent inference from improper priors and from finitely additive priors
• Coherent inferences and improper priors
• Locally coherent rates of exchange
• Approximation of improper priors
• Weak disintegrability as a form of preservation of coherence
• Coherency conditions for finite exchangeable inference
• The formal posterior of a standard flat prior in MANOVA is incoherent
• Finitely additive conditional probabilities
• scientific article; zbMATH DE number 4074171 (Why is no real title available?)
• scientific article; zbMATH DE number 4188967 (Why is no real title available?)
• Coherent and continuous inference
• A notion of conditional probability and some of its consequences

This page was built for publication: Coherent and continuous inference

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5895476)