Overall Objective Priors
Overall Objective Priors
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DOI：
10.1214/14-ba915
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发表时间：
2015-03-01
影响因子：
4.4
通讯作者：
Sun, Dongchu
中科院分区：
文献类型：
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作者：
Berger, James O.;Bernardo, Jose M.;Sun, Dongchu
在多参数模型中，参考先验通常取决于感兴趣的参数或量，并且众所周知，这对于产生具有最佳属性的客观后验分布是必要的。然而，在许多情况下，人们同时对模型的所有参数感兴趣，或者更现实地说，对模型的函数感兴趣，这些函数包括预测等方面，因此，拥有一个可以安全地用于为所有感兴趣的量产生合理的后验推断的单一客观先验是有用的。在本文中，我们考虑了三种方法选择一个单一的目标先验和研究，在各种问题，包括多项式问题，是否产生的先验是一个合理的整体先验。
In multi-parameter models, reference priors typically depend on the parameter or quantity of interest, and it is well known that this is necessary to produce objective posterior distributions with optimal properties. There are, however, many situations where one is simultaneously interested in all the parameters of the model or, more realistically, in functions of them that include aspects such as prediction, and it would then be useful to have a single objective prior that could safely be used to produce reasonable posterior inferences for all the quantities of interest. In this paper, we consider three methods for selecting a single objective prior and study, in a variety of problems including the multinomial problem, whether or not the resulting prior is a reasonable overall prior.