On obtaining invariant prior distributions

DOI10.1016/0378-3758(93)90086-LMaRDI QIDQ1314489zbMATH OpenOpenAlexFDO

Authors Edward I. George, Robert E. McCulloch

Publication date 10 November 1994

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(93)90086-l

zbMATH Keywords

distributional discrepancy measuresdivergence measuresHaar measureinvariant priorsJeffreys priorKullback-Leibler divergenceparametrization invariancesample space invariance

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Bayesian inference (62F15)

Recommendations

• Invariance of posterior distributions under reparametrization
• Invariance of the reference prior under reparametrization
• On divergence measures leading to Jeffreys and other reference priors
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Cited in

(11)

• Jeffreys' prior is asymptotically least favorable under entropy risk
• On the probability of a model.
• Invariance of the reference prior under reparametrization
• On the invariance of noninformative priors
• Reference priors for exponential families with increasing dimension
• Invariance of posterior distributions under reparametrization
• Posterior distribution for negative binomial parameter \(p\) using a group invariant prior
• Bayes factors and marginal distributions in invariant situations
• Why Beta Priors: Invariance-Based Explanation
• Intrinsic credible regions: an objective Bayesian approach to interval estimation (with comments and rejoinder)
• A general divergence criterion for prior selection

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