Dutch book against some `objective' priors
Eaton, Morris L. ; Freedman, David A.
Bernoulli, Tome 10 (2004) no. 2, p. 861-872 / Harvested from Project Euclid
`Dutch book' and `strong inconsistency' are generally equivalent: there is a system of bets that makes money for the gambler, whatever the state of nature may be. As de Finetti showed, an odds-maker who is not a Bayesian is subject to a Dutch book, under certain highly stylized rules of play - a fact often used as an argument against frequentists. However, so-called `objective' or `uninformative' priors may also be subject to a Dutch book. This note explains, in a relatively simple and self-contained way, how to make Dutch book against a frequently recommended uninformative prior for covariance matrices.
Publié le : 2004-10-14
Classification:  Dutch book,  incoherence,  Jeffreys prior,  multivariate analysis,  objective prior,  prediction,  strong inconsistency,  uninformative prior
@article{1099579159,
     author = {Eaton, Morris L. and Freedman, David A.},
     title = {Dutch book against some `objective' priors},
     journal = {Bernoulli},
     volume = {10},
     number = {2},
     year = {2004},
     pages = { 861-872},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1099579159}
}
Eaton, Morris L.; Freedman, David A. Dutch book against some `objective' priors. Bernoulli, Tome 10 (2004) no. 2, pp.  861-872. http://gdmltest.u-ga.fr/item/1099579159/