通过形式规则选择先验分布

The Selection of Prior Distributions by Formal Rules

Journal of the American Statistical Association · 1996
被引 232 · 同刊同年前 9%
ABS 4

中文导读

综述了构造非信息先验的多种形式规则,重点讨论Jeffreys规则及其演变,指出小样本时默认先验不可靠,大样本时Jeffreys规则仍合理。

Abstract

Subjectivism has become the dominant philosophical foundation for Bayesian inference. Yet in practice, most Bayesian analyses are performed with so-called "noninformative" priors, that is, priors constructed by some formal rule. We review the plethora of techniques for constructing such priors and discuss some of the practical and philosophical issues that arise when they are used. We give special emphasis to Jeffreys's rules and discuss the evolution of his viewpoint about the interpretation of priors, away from unique representation of ignorance toward the notion that they should be chosen by convention. We conclude that the problems raised by the research on priors chosen by formal rules are serious and may not be dismissed lightly: When sample sizes are small (relative to the number of parameters being estimated), it is dangerous to put faith in any "default" solution; but when asymptotics take over, Jeffreys's rules and their variants remain reasonable choices. We also provide an annotated bibliography.

贝叶斯统计先验分布计量经济学统计学人工智能