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A Bounded Derivative Model for Prior Ignorance about a Real‐valued Parameter
Author(s) -
Walley Peter
Publication year - 1997
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00075
Subject(s) - mathematics , piecewise , bounded function , constant (computer programming) , invariant (physics) , probability density function , prior probability , statistics , mathematical analysis , bayesian probability , computer science , mathematical physics , programming language
A new method is proposed for drawing coherent statistical inferences about a real‐valued parameter in problems where there is little or no prior information. Prior ignorance about the parameter is modelled by the set of all continuous probability density functions for which the derivative of the log‐density is bounded by a positive constant. This set is translation‐invariant, it contains density functions with a wide variety of shapes and tail behaviour, and it generates prior probabilities that are highly imprecise. Statistical inferences can be calculated by solving a simple type of optimal control problem whose general solution is characterized. Detailed results are given for the problems of calculating posterior upper and lower means, variances, distribution functions and probabilities of intervals. In general, posterior upper and lower expectations are achieved by prior density functions that are piecewise exponential. The results are illustrated by normal and binomial examples