publication . Article . 2004

reference priors for exponential families with simple quadratic variance function

Consonni, Guido; Veronese, Piero; Gutiérrez-Peña, Eduardo;
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  • Published: 01 Feb 2004 Journal: Journal of Multivariate Analysis, volume 88, pages 335-364 (issn: 0047-259X, Copyright policy)
  • Publisher: Elsevier BV
Abstract
AbstractReference analysis is one of the most successful general methods to derive noninformative prior distributions. In practice, however, reference priors are often difficult to obtain. Recently developed theory for conditionally reducible natural exponential families identifies an attractive reparameterization which allows one, among other things, to construct an enriched conjugate prior. In this paper, under the assumption that the variance function is simple quadratic, the order-invariant group reference prior for the above parameter is found. Furthermore, group reference priors for the mean- and natural parameter of the families are obtained. A brief disc...
Subjects
arXiv: Statistics::Methodology
free text keywords: Statistics, Probability and Uncertainty, Statistics and Probability, Numerical Analysis, Exponential family, Multinomial distribution, Conjugate prior, Statistics, Variance function, Prior probability, Mathematics, Bayesian inference, Frequentist inference, Natural exponential family, Econometrics, Conditional reducibility, Contingency table, Enriched conjugate prior, Multinomial family, Negative-multinomial family, Noninformative prior
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