FULLY COHERENT INFERENCE

• 成果类型: Article
• 署名作者: BRUNK, HD
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176348123
• 发表日期: 1991
• 页码: 830-849
• 关键词: expectation consistency

摘要

In a general setting in which prior distributions that may take on the value infinity are admitted, an inference based on a posterior for a prior, mu, that is minimally compatible with the inference is shown to have a strong property of expectation consistency, that implies a corresponding property of coherence: A nonnegative expected payoff function for a gambler's strategy is necessarily 0 almost everywhere (mu). In the converse direction, under appropriate regularity conditions involving continuity of the sampling distribution and of the inference, a weaker version of coherence implies that the inference is based on a posterior distribution.