An Objective Approach to Prior Mass Functions for Discrete Parameter Spaces

• 成果类型: Article
• 署名作者: Villa, C.; Walker, S. G.
• 署名单位: University of Kent; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2014.946319
• 发表日期: 2015
• 页码: 1072-1082
• 关键词: posterior distributions; number

摘要

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.