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A decision-theoretical view of default priors

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In this article, we outline a simple and intuitively appealing procedure to derive default priors. The main idea is to regard the choice of such a prior as a formal Bayesian decision problem. We also discuss Jeffreys prior and more generally the reference prior of Bernardo (J R Stat Soc B 41:113–147, 1979) from this standpoint.

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Correspondence to Stephen G. Walker.

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Walker, S.G., Gutiérrez-Peña, E. A decision-theoretical view of default priors. Theory Decis 70, 1–11 (2011). https://doi.org/10.1007/s11238-009-9174-y

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  • Bayesian inference
  • Expected utility
  • Intrinsic loss
  • Logarithmic divergence
  • Objective prior
  • Parametric model
  • Reference prior