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Analytical derivation of the reference prior by sequential maximization of Shannon's mutual information in the multi-group parameter case
Physikalisch-Technische Bundesanstalt, Berlin, Germany.ORCID iD: 0000-0003-1359-3311
Physikalisch-Technische Bundesanstalt, Berlin, Germany.
2014 (English)In: Journal of Statistical Planning and Inference, ISSN 0378-3758, E-ISSN 1873-1171, Vol. 147, p. 106-116Article in journal (Refereed) Published
Abstract [en]

We provide an analytical derivation of a non-informative prior by sequential maximization of Shannon's mutual information in the multi-group parameter case assuming reasonable regularity conditions. We show that the derived prior coincides with the reference prior proposed by Berger and Bernardo, and that it can be considered as a useful alternative expression for the calculation of the reference prior. In using this expression we discuss the conditions under which an improper reference prior can be uniquely defined, i.e. when it does not depend on the particular choice of nested sequences of compact subsets of the parameter space needed for its construction. We also present the conditions under which the reference prior coincides with Jeffreys' prior.

Place, publisher, year, edition, pages
Elsevier, 2014. Vol. 147, p. 106-116
Keywords [en]
Reference prior, Shannon's mutual information
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:oru:diva-76722DOI: 10.1016/j.jspi.2013.11.003ISI: 000331159500007Scopus ID: 2-s2.0-84892538951OAI: oai:DiVA.org:oru-76722DiVA, id: diva2:1354179
Available from: 2019-09-24 Created: 2019-09-24 Last updated: 2019-10-25Bibliographically approved

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Bodnar, Olha

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