THE FORMAL DEFINITION OF REFERENCE PRIORS

@article{Berger2009THEFD,
  title={THE FORMAL DEFINITION OF REFERENCE PRIORS},
  author={James O. Berger and Jos{\'e} M. Bernardo and Dongchu Sun},
  journal={Annals of Statistics},
  year={2009},
  volume={37},
  pages={905-938}
}
Reference analysis produces objective Bayesian inference, in the sense that inferential statements depend only on the assumed model and the available data, and the prior distribution used to make an inference is least informative in a certain information-theoretic sense. Reference priors have been rigorously defined in specific contexts and heuristically defined in general, but a rigorous general definition has been lacking. We produce a rigorous general definition here and then show how an… 

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