Eaton ’ s Markov Chain , its Conjugate Partner and P-admissibility

@inproceedings{Hobert1998EatonS,
  title={Eaton ’ s Markov Chain , its Conjugate Partner and P-admissibility},
  author={James P. Hobert},
  year={1998}
}
Suppose that X is a random variable with density f(xj ) and that ( jx) is a proper posterior corresponding to an improper prior ( ). The prior is called P-admissible if the generalized Bayes estimator of every bounded function of is almost-admissible under squared error loss. Eaton (1992) showed that recurrence of the Markov chain with transition density R( j ) = R ( jx)f(xj )dx is a su cient condition for P-admissibility of ( ). We show that Eaton's Markov chain is recurrent if and only if its… CONTINUE READING

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