The elimination of nuisance parameters has classically been tackled by various ad hoc devices, and has led to a number of attemps to define partial sufficiency and ancillarity. The Bayesian approach is clearly defined. This paper examines some classical procedures in order to see when they can be given a Bayesian justification.
@article{urn:eudml:doc:40819, title = {A Bayesian look at nuisance parameters.}, journal = {Trabajos de Estad\'\i stica e Investigaci\'on Operativa}, volume = {31}, year = {1980}, pages = {167-184}, language = {en}, url = {http://dml.mathdoc.fr/item/urn:eudml:doc:40819} }
Dawid, A. Philip. A Bayesian look at nuisance parameters.. Trabajos de Estadística e Investigación Operativa, Tome 31 (1980) pp. 167-184. http://gdmltest.u-ga.fr/item/urn:eudml:doc:40819/