A decision-theoretical view of default priors |
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| Authors: | Stephen G. Walker Eduardo Gutiérrez-Peña |
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| Affiliation: | 1.Institute of Mathematics, Statistics and Actuarial Science,University of Kent,Canterbury,UK;2.Departamento de Probabilidad y Estadística, IIMAS,Universidad Nacional Autonóma de México,México D.F.,Mexico |
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| Abstract: | In this article, we outline a simple and intuitively appealing procedure to derive default priors. The main idea is to regard the choice of such a prior as a formal Bayesian decision problem. We also discuss Jeffreys prior and more generally the reference prior of Bernardo (J R Stat Soc B 41:113–147, 1979) from this standpoint. |
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