Fully Coherent Inference
Brunk, H. D.
Ann. Statist., Tome 19 (1991) no. 1, p. 830-849 / Harvested from Project Euclid
In a general setting in which prior distributions that may take on the value $\infty$ are admitted, an inference based on a posterior for a prior, $\mu$, that is "minimally compatible" with the inference is shown to have a strong property of expectation consistency, that implies a corresponding property of coherence: A nonnegative expected payoff function for a gambler's strategy is necessary 0 almost everywhere $(\mu)$. In the converse direction, under appropriate regularity conditions involving continuity of the sampling distribution and of the inference, a weaker version of coherence implies that the inference is based on a posterior distribution.
Publié le : 1991-06-14
Classification:  Coherence,  expectation consistent inference,  62A15,  60A05
@article{1176348123,
     author = {Brunk, H. D.},
     title = {Fully Coherent Inference},
     journal = {Ann. Statist.},
     volume = {19},
     number = {1},
     year = {1991},
     pages = { 830-849},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176348123}
}
Brunk, H. D. Fully Coherent Inference. Ann. Statist., Tome 19 (1991) no. 1, pp.  830-849. http://gdmltest.u-ga.fr/item/1176348123/