Shannon optimal priors on independent identically distributed statistical experiments converge weakly to Jeffrey's prior

DOI10.1007/BF02565103MaRDI QIDQ1962695zbMATH OpenOpenAlexFDO

Authors Holger R. Scholl

Publication date 1998

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02565103

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Theory of statistical experiments (62B15) Bayesian problems; characterization of Bayes procedures (62C10)

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Cites work

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• Information-theoretic asymptotics of Bayes methods
• Invariance of the reference prior under reparametrization
• Jeffreys' prior is asymptotically least favorable under entropy risk
• Least-informative Bayesian prior distributions for finite samples based on information theory
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• Probability with Martingales
• Reference Prior Bayesian Analysis for Normal Mean Products
• Reference priors in multiparameter nonregular cases

Cited in

(3)

• Jeffreys' prior is asymptotically least favorable under entropy risk
• Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theory
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