Reference priors for prediction |
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| Affiliation: | 1. Barcelona Clinic Schizophrenia Unit, Hospital Clinic of Barcelona, Neuroscience Institute, Department of Medicine, University of Barcelona, Biomedical Research Networking Center for Mental Health Network (CIBERSAM), August Pi I Sunyer Biomedical Research Institute (IDIBAPS), Barcelona, Spain;2. Barcelona Clinic Schizophrenia Unit, Hospital Clinic of Barcelona, Neuroscience Institute; Department of Basic Clinal Practice, Pharmacology Unit, University of Barcelona, Biomedical Research Networking Center for Mental Health Network (CIBERSAM), August Pi i Sunyer Biomedical Research Institute (IDIBAPS), Barcelona, Spain;3. Pharmacology and Toxicology Laboratoy, SBGM, Hospital Clínic of Barcelona, August Pi i Sunyer Biomedical Research Institute (IDIBAPS), Barcelona, Spain;4. Pharmacology and Toxicology Laboratory, SBGM, Hospital Clínic of Barcelona, Biomedical Research Networking Center in Hepatic and Digestive Diseases (CIBEREHD), August Pi i Sunyer Biomedical Research Institute (IDIBAPS), University of Barcelona, Barcelona, Spain;1. Department of Law, University of Genoa, Via Balbi, 30/19, I-16126 Genoa (GE), Italy;2. Department of Management, Polytechnic University of Marche, Piazza Martelli 8, I-60121 Ancona (AN), Italy;3. Department of Economics and Management, University of Pisa, Via Cosimo Ridolfi, 10, I-56124 Pisa (PI), Italy |
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| Abstract: | This article discusses the reference decision method for developing noninformative priors for prediction analyses. An information-theoretic criterion is advocated for choosing priors. Reference priors for prediction are defined to be priors which maximize the criterion in some asymptotic sense. These priors satisfy Jeffreys' original requirement of invariance under reparametrization. In the regular case, an explicit form of reference priors for prediction is given. Typically, it reduces to the Jeffreys prior. However, an example is given to illustrate how it produces a different prior than the ordinary noninformative priors. |
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