Objective Priors for Discrete Parameter Spaces

James O. Berger, Jose M. Bernardo and Dongchu Sun

Journal of the American Statistical Association, 2012, vol. 107, issue 498, 636-648

Abstract: This article considers the development of objective prior distributions for discrete parameter spaces. Formal approaches to such development—such as the reference prior approach—often result in a constant prior for a discrete parameter, which is questionable for problems that exhibit certain types of structure. To take advantage of structure, this article proposes embedding the original problem in a continuous problem that preserves the structure, and then using standard reference prior theory to determine the appropriate objective prior. Four different possibilities for this embedding are explored, and applied to a population-size model, the hypergeometric distribution, the multivariate hypergeometric distribution, the binomial-beta distribution, and the binomial distribution. The recommended objective priors for the first, third, and fourth problems are new.

Date: 2012
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/01621459.2012.682538

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