Volume 4, Number 1, 95-114, DOI: 10.1007/BF02563105

Noninformative priors for maximal invariant parameter in group models

G. S. Datta and J. K. Ghosh

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Abstract

For an Euclidean groupG acting freely on the parameter space, we derive, among several noninformative priors, the reference priors of Berger-Bernardo and Chang-Eaves for our parameter of interest θ1, a scalar maximal invariant parametric function. Identifying the nuisance parameter vector with the group element, we derive a simple structure of the information matrix which is used to obtain different noninformative priors. We compare these priors using the marginalization paradox and the probability-matching criteria. The Chang-Eaves and the Berger-Bernardo reference priors appear to be the most attractive choice. Several illustrative examples are considered.

Keywords  Right invariant haar density - Left invariant haar density - Reference prior - Information matrix - Marginalization paradox - Probability-matching prior

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