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An objective prior that unifies objective Bayes and information-based inference
[article]
2015
arXiv
pre-print
There are three principle paradigms of statistical inference: (i) Bayesian, (ii) information-based and (iii) frequentist inference. We describe an objective prior (the weighting or w-prior) which unifies objective Bayes and information-based inference. The w-prior is chosen to make the marginal probability an unbiased estimator of the predictive performance of the model. This definition has several other natural interpretations. From the perspective of the information content of the prior, the
arXiv:1506.00745v2
fatcat:isfont2ozfcuhd4dueg7ikkm54