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Lookup NU author(s): Dr Cristiano Villa
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We present a novel approach to constructing objective prior distributions for discrete parameter spaces. These types of parameter spaces are particularly problematic, as it appears that common objective procedures to design prior distributions are problem specific. We propose an objective criterion, based on loss functions, instead of trying to define objective probabilities directly. We systematically apply this criterion to a series of discrete scenarios, previously considered in the literature, and compare the priors. The proposed approach applies to any discrete parameter space, making it appealing as it does not involve different concepts according to the model. Supplementary materials for this article are available online.
Author(s): Villa C, Walker SG
Publication type: Article
Publication status: Published
Journal: Journal of the American Statistical Association
Online publication date: 07/11/2015
Acceptance date: 05/08/2014
ISSN (print): 0162-1459
ISSN (electronic): 1537-274X
Publisher: American Statistical Association
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