Improper priors and improper posteriors

@article{Taraldsen2021ImproperPA,
  title={Improper priors and improper posteriors},
  author={Gunnar Taraldsen and Jarle Tufto and Bo Henry Lindqvist},
  journal={Scandinavian Journal of Statistics},
  year={2021},
  volume={49},
  pages={969 - 991}
}
What is a good prior? Actual prior knowledge should be used, but for complex models this is often not easily available. The knowledge can be in the form of symmetry assumptions, and then the choice will typically be an improper prior. Also more generally, it is quite common to choose improper priors. Motivated by this we consider a theoretical framework for statistics that includes both improper priors and improper posteriors. Knowledge is then represented by a possibly unbounded measure with… 

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