IDEAS home Printed from https://ideas.repec.org/a/bla/scjsta/v31y2004i2p235-246.html
   My bibliography  Save this article

Conjugate Priors Represent Strong Pre‐Experimental Assumptions

Author

Listed:
  • Eduardo Gutiérrez‐Peña
  • Pietro Muliere

Abstract

. It is well known that Jeffreys’ prior is asymptotically least favorable under the entropy risk, i.e. it asymptotically maximizes the mutual information between the sample and the parameter. However, in this paper we show that the prior that minimizes (subject to certain constraints) the mutual information between the sample and the parameter is natural conjugate when the model belongs to a natural exponential family. A conjugate prior can thus be regarded as maximally informative in the sense that it minimizes the weight of the observations on inferences about the parameter; in other words, the expected relative entropy between prior and posterior is minimized when a conjugate prior is used.

Suggested Citation

  • Eduardo Gutiérrez‐Peña & Pietro Muliere, 2004. "Conjugate Priors Represent Strong Pre‐Experimental Assumptions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 31(2), pages 235-246, June.
  • Handle: RePEc:bla:scjsta:v:31:y:2004:i:2:p:235-246
    DOI: 10.1111/j.1467-9469.2004.02-019.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9469.2004.02-019.x
    Download Restriction: no

    File URL: https://libkey.io/10.1111/j.1467-9469.2004.02-019.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:scjsta:v:31:y:2004:i:2:p:235-246. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.