Jeffreys' prior is asymptotically least favorable under entropy risk

Journal of Statistical Planning and Inference

Volumn 41, Issue 1, 1994, Pages 37-60

  Clarke, Bertrand S ^a   Barron, Andrew R ^b  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b YALE UNIVERSITY   (United States)

Author keywords

Bayes risk; data compression; Fisher information; Jeffreys' prior; Kullback Leibler information; minimax risk; parametric density estimation; reference priors, least favorable priors; Shannon's mutual information

Indexed keywords

EID: 0002138061     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/0378-3758(94)90153-8     Document Type: Article

References (33)

1. Goodness of prediction fit.
2. Estimating a Product of Means: Bayesian Analysis with Reference Priors
3. On the development of the reference prior method
4. Ordered group reference priors with applications to the multinomial problem
5. Reference priors in a variance components problem
6. On priors that maximize expected information
7. Reference posterior distributions for Bayesian inference
8. A Decomposition for the Likelihood Ratio Statistic and the Bartlett Correction--A Bayesian Argument
9. Reference Priors for the Orbit in a Group Model
10. Asymptotic cumulative risk and Bayes risk under entropy loss with applications
11. Information-theoretic asymptotics of Bayes methods
12. Entropy risk and the Bayesian central limit theorem
13. Universal noiseless coding
14. A source matching approach to finding minimax codes
15. Information contained in a sequence of observations
16. On obtaining invariant prior distributions
17. Noninformative priors
18. The Asymptotically Unbiased Prior Distribution
19. On the information in a sample about a parameter
20. The performance of universal encoding
21. Prior distributions for the bivariate binomial
22. Stochastic Complexity and Modeling
23. Stochastic complexity
24. Noninformative priors for one parameter of many
25. Discrete Noninformative Priors