Reference priors for natural exponential families having a simple quadratic variance function

Guido Consonni, Piero Veronese, Eduardo Gutiérrez-Peña

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

13 Citazioni (Scopus)

Abstract

Reference 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 discussion of the frequentist coverage properties is also presented. The theory is illustrated for the multinomial and negative-multinomial family. Posterior computations are especially straightforward due to the fact that the resulting reference distributions belong to the corresponding enriched conjugate family. A substantive application of the theory relates to the construction of reference priors for the Bayesian analysis of two-way contingency tables with respect to two alternative parameterizations.
Lingua originaleEnglish
pagine (da-a)335-364
Numero di pagine30
RivistaJournal of Multivariate Analysis
Volume88
DOI
Stato di pubblicazionePubblicato - 2004

Keywords

  • Natural exponential family
  • Reference prior

Fingerprint Entra nei temi di ricerca di 'Reference priors for natural exponential families having a simple quadratic variance function'. Insieme formano una fingerprint unica.

Cita questo