Turning probabilities into expectations

cost of specification of prior probabilities elicitation of subjective probabilities estimating the mean linear Bayes rules linear functions midrisk posterior mean and variance prior mean and variance prior probability quadratic loss turning probabilities into expectations

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Bayesian inference (62F15) Nonparametric estimation (62G05)

Review text

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.

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