A general divergence criterion for prior selection

@article{Ghosh2011AGD,
  title={A general divergence criterion for prior selection},
  author={Malay Ghosh and Victor Mergel and Ruitao Liu},
  journal={Annals of the Institute of Statistical Mathematics},
  year={2011},
  volume={63},
  pages={43-58}
}
The paper revisits the problem of selection of priors for regular one-parameter family of distributions. The goal is to find some “objective” or “default” prior by approximate maximization of the distance between the prior and the posterior under a general divergence criterion as introduced by Amari (Ann Stat 10:357–387, 1982) and Cressie and Read (J R Stat Soc Ser B 46:440–464, 1984). The maximization is based on an asymptotic expansion of this distance. The Kullback–Leibler, Bhattacharyya… CONTINUE READING
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