Nonsubjective priors via predictive relative entropy regret

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dc.creatorSweeting, Trevor J.
dc.creatorDatta, Gauri S.
dc.creatorGhosh, Malay
dc.date2006-05-23
dc.date.accessioned2026-07-07T08:07:51Z
dc.date.available2026-07-07T08:07:51Z
dc.descriptionWe explore the construction of nonsubjective prior distributions in Bayesian statistics via a posterior predictive relative entropy regret criterion. We carry out a minimax analysis based on a derived asymptotic predictive loss function and show that this approach to prior construction has a number of attractive features. The approach here differs from previous work that uses either prior or posterior relative entropy regret in that we consider predictive performance in relation to alternative nondegenerate prior distributions. The theory is illustrated with an analysis of some specific examples.
dc.descriptionPublished at http://dx.doi.org/10.1214/009053605000000804 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0605609
dc.identifierhttp://arxiv.org/abs/math/0605609
dc.identifierAnnals of Statistics 2006, Vol. 34, No. 1, 441-468
dc.identifierdoi:10.1214/009053605000000804
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/131067
dc.subjectStatistics Theory
dc.subject62F15 (Primary) 62B10, 62C20 (Secondary)
dc.titleNonsubjective priors via predictive relative entropy regret
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