Evaluating improper priors and the recurrence of symmetric Markov chains: an overview
Morris L. Eaton
Source:
Abstract
Given a parametric statistical model, an improper prior distribution can often be used to induce a proper posterior distribution (an inference). This inference can then be used to solve decision problems once an action space and loss have been specified. One way to evaluate the inference is to ask for which estimation problems does the above formal Bayes method produce admissible estimators. The relationship of this problem to the recurrence of an associated symmetric Markov chain is reviewed.
Full-text: Open access
Permanent link to this document: http://projecteuclid.org/euclid.lnms/1196285376
Mathematical Reviews (MathSciNet):
MR2126883
Digital Object Identifier: doi:10.1214/lnms/1196285376
Institute of Mathematical Statistics Lecture Notes - Monograph Series