参考先验对先验信息和样本量的影响

Implications of Reference Priors for Prior Information and for Sample Size

Journal of the American Statistical Association · 1996
被引 8
ABS 4

中文导读

利用基于相对熵的参考先验,将信息性先验转化为代表性数据集,并估计进行所需推断需要多少数据。

Abstract

Abstract Here we use posterior densities based on relative entropy reference priors for two purposes. The first purpose is to identify data implicit in the use of informative priors. We represent an informative prior as the posterior from an experiment with a known likelihood and a reference prior. Minimizing the relative entropy distance between this posterior and the informative prior over choices of data results in a data set that can be regarded as representative of the information in the informative prior. The second implication from reference priors is obtained by replacing the informative prior with a class of densities from which one might wish to make inferences. For each density in this class, one can obtain a data set that minimizes a relative entropy. The maximum of these sample sizes as the inferential density varies over its class can be used as a guess as to how much data is required for the desired inferences. We bound this sample size above and below by other techniques that permit it to be approximated.

贝叶斯统计先验分布样本量确定相对熵信息论