Evaluation of Formal posterior distributions via Markov chain arguments

@article{Eaton2008EvaluationOF,
  title={Evaluation of Formal posterior distributions via Markov chain arguments},
  author={M. Eaton and J. Hobert and G. Jones and Wen-Lin Lai},
  journal={Annals of Statistics},
  year={2008},
  volume={36},
  pages={2423-2452}
}
  • M. Eaton, J. Hobert, +1 author Wen-Lin Lai
  • Published 2008
  • Mathematics
  • Annals of Statistics
  • We consider evaluation of proper posterior distributions obtained from improper prior distributions. Our context is estimating a bounded function Φ of a parameter when the loss is quadratic. If the posterior mean of 0 is admissible for all bounded Φ, the posterior is strongly admissible. We give sufficient conditions for strong admissibility. These conditions involve the recurrence of a Markov chain associated with the estimation problem. We develop general sufficient conditions for recurrence… CONTINUE READING
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