Statistics with improper posteriors
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Publication:6310679
arXiv1812.01314MaRDI QIDQ6310679FDOQ6310679
Authors: Gunnar Taraldsen, Jarle Tufto, Bo Henry Lindqvist 
Publication date: 4 December 2018
Abstract: In 1933 Kolmogorov constructed a general theory that defines the modern concept of conditional probability. In 1955 Renyi fomulated a new axiomatic theory for probability motivated by the need to include unbounded measures. We introduce a general concept of conditional probability in Renyi spaces. In this theory improper priors are allowed, and the resulting posteriors can also be improper.
Bayesian inference (62F15) Foundations and philosophical topics in statistics (62A01) Bayesian problems; characterization of Bayes procedures (62C10)
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