Optimal square-root pooling from expert opinions

Alfred Kume, Cristiano Villa and Stephen G. Walker

Statistics & Probability Letters, 2024, vol. 208, issue C

Abstract: The paper proposes a novel approach to combine expert prior opinions based on information minimization. This is done in the square-root density space, identified with the positive orthant of the Hilbert unit sphere of differentiable functions.

Keywords: Fisher information; Hilbert sphere; Minimum information; Square root density; Frechet mean density (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.110014

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