Turning probabilities into expectations (Q760117)

Suppose that you specify your prior probability that an unknown quantity \(\theta\) lies in each member of a disjoint partition of the values of \(\theta\). What does this imply about your prior mean and variance for \(\theta\), and your posterior mean and variance, given sample information? We provide a partial answer by modifying a suggestion of \textit{C. F. Manski} [ibid. 9, 59-65 (1981; Zbl 0451.62004)] for incorporating the cost of specification of prior probabilities into the analysis of decision problems. This modification leads to a simple explicit solution in the problem of estimating the mean of a distribution, with quadratic loss, in the class of linear functions of the sample, and this solution is related to the problem of turning probabilities into expectations.