Category: improper priors

O’Bayes 19/4

Last talks of the conference! With Rui Paulo (along with Gonzalo Garcia-Donato) considering the special case of factors when doing variable selection. Which is an interesting question that I had never considered, as at best I would remove all leves or keeping them all. Except that there may be misspecification in the factors as for […]

statistics with improper posteriors [or not]

Last December, Gunnar Taraldsen, Jarle Tufto, and Bo H. Lindqvist arXived a paper on using priors that lead to improper posteriors and [trying to] getting away with it! The central concept in their approach is Rényi’s generalisation of Kolmogorov’s version to define conditional probability distributions from infinite mass measures by conditioning on finite mass measurable […]

Jeffreys priors for hypothesis testing [Bayesian reads #2]

A second (re)visit to a reference paper I gave to my OxWaSP students for the last round of this CDT joint program. Indeed, this may be my first complete read of Susie Bayarri and Gonzalo Garcia-Donato 2008 Series B paper, inspired by Jeffreys’, Zellner’s and Siow’s proposals in the Normal case. (Disclaimer: I was not […]