Bayesian Priors from Loss Matching

DOI10.1111/J.1751-5823.2011.00176.XzbMath1418.62078OpenAlexW1905533178MaRDI QIDQ5383215

Philip J. Brown, Stephen G. Walker

Publication date: 20 June 2019

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://kar.kent.ac.uk/31314/1/lossmatch_dec11.pdf

zbMATH Keywords

loss functionDirichlet processconjugate priorKullback-Leibler divergenceprior distributionmodel choiceself-information loss\(\mathcal{M}\)-open

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Bayesian inference (62F15)

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Catalytic prior distributions with application to generalized linear models ⋮ Bayesian inference with misspecified models

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