Evaluating default priors with a generalization of Eaton's Markov chain

Brian P. Shea, Galin L. Jones

Research output: Contribution to journalArticle

Abstract

We consider evaluating improper priors in a formal Bayes setting according to the consequences of their use. Let Φ be a class of functions on the parameter space and consider estimating elements of Φ under quadratic loss. If the formal Bayes estimator of every function in Φ is admissible, then the prior is strongly admissible with respect to Φ. Eaton's method for establishing strong admissibility is based on studying the stability properties of a particular Markov chain associated with the inferential setting. In previous work, this was handled differently depending upon whether φ ∈ Φ was bounded or unbounded. We consider a new Markov chain which allows us to unify and generalize existing approaches while simultaneously broadening the scope of their potential applicability. We use our general theory to investigate strong admissibility conditions for location models when the prior is Lebesgue measure and for the p-dimensional multivariate Normal distribution with unknown mean vector θ and a prior of the form v(||θ||2)dθ.

Original languageEnglish (US)
Pages (from-to)1069-1091
Number of pages23
JournalAnnales de l'institut Henri Poincare (B) Probability and Statistics
Volume50
Issue number3
DOIs
StatePublished - Aug 2014

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Keywords

  • Admissibility
  • Dirichlet form
  • Formal Bayes rule
  • Improper prior distribution
  • Recurrence
  • Symmetric Markov chain

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