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A multidimensional objective prior distribution from a scoring rule

JOURNAL OF STATISTICAL PLANNING AND INFERENCE (2024)

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Article Physics, Multidisciplinary

An Objective Prior from a Scoring Rule

Stephen G. Walker et al.

Summary: The paper introduces a novel objective prior distribution leveraging the connections between information, divergence, and scoring rules. By starting from convex functions representing information in density functions, it provides a natural route to proper local scoring rules using Bregman divergence. The prior is determined by setting the score function to be a constant, which not only provides motivation for an objective prior but also minimizes a corresponding information criterion.

ENTROPY (2021)

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Article Statistics & Probability