Locally uniform prior distributions
Hartigan, J. A.
Ann. Statist., Tome 24 (1996) no. 6, p. 160-173 / Harvested from Project Euclid
Suppose that $X_{\sigma} | \mathbf{\theta} \sim N(\mathbf{\theta}, \sigma^2)$ and that $\sigma \to 0$. For which prior distributions on $\mathbf{\theta}$ is the posterior distribution of $\mathbf{\theta}$ given $X_{\sigma}$ asymptotically $N(X_{\sigma}, \sigma^2)$ when in fact $X_{\sigma} \sim N(\theta_0, \sigma^2)$? It is well known that the stated convergence occurs when $\mathbf{\theta}$ has a prior density that is positive and continuous at $\theta_0$. It turns out that the necessary and sufficient conditions for convergence allow a wider class of prior distributions--the locally uniform and tail-bounded prior distributions. This class includes certain discrete prior distributions that may be used to reproduce minimum description length approaches to estimation and model selection.
Publié le : 1996-02-14
Classification:  Discrete prior distributions,  penalized likelihood,  minimum description length,  62A15
@article{1033066204,
     author = {Hartigan, J. A.},
     title = {Locally uniform prior distributions},
     journal = {Ann. Statist.},
     volume = {24},
     number = {6},
     year = {1996},
     pages = { 160-173},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1033066204}
}
Hartigan, J. A. Locally uniform prior distributions. Ann. Statist., Tome 24 (1996) no. 6, pp.  160-173. http://gdmltest.u-ga.fr/item/1033066204/