Conditional probability and improper priors

DOI10.1080/03610926.2014.935430MaRDI QIDQ2817130zbMATH OpenOpenAlexFDO

Authors Gunnar Taraldsen, Bo Henry Lindqvist

Publication date 29 August 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.04797

zbMATH Keywords

projective spaceimproper prioraxioms of statisticsconditional probability space

Mathematics Subject Classification ID

Bayesian inference (62F15) Foundations and philosophical topics in statistics (62A01) Axioms; other general questions in probability (60A05)

Abstract: The purpose of this paper is to present a mathematical theory that can be used as a foundation for statistics that include improper priors. This theory includes improper laws in the initial axioms and has in particular Bayes theorem as a consequence. Another consequence is that some of the usual calculation rules are modified. This is important in relation to common statistical practice which usually include improper priors, but tends to use unaltered calculation rules. In some cases the results are valid, but in other cases inconsistencies may appear. The famous marginalization paradoxes exemplify this latter case. An alternative mathematical theory for the foundations of statistics can be formulated in terms of conditional probability spaces. In this case the appearance of improper laws is a consequence of the theory. It is proved here that the resulting mathematical structures for the two theories are equivalent. The conclusion is that the choice of the first or the second formulation for the initial axioms can be considered a matter of personal preference. Readers that initially have concerns regarding improper priors can possibly be more open toward a formulation of the initial axioms in terms of conditional probabilities. The interpretation of an improper law is given by the corresponding conditional probabilities. Keywords: Axioms of statistics, Conditional probability space, Improper prior, Projective space

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Cited in

(8)

• Improper versus finitely additive distributions as limits of countably additive probabilities
• On the Flatland paradox and limiting arguments
• On the proper treatment of improper distributions
• Improper priors and improper posteriors
• Confidence distributions: a review
• Conditional fiducial models
• Infinitesimal distributions, improper priors and Bayesian inference
• On Bayes's theorem for improper mixtures

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