Default Priors for Bayesian and Frequentist Inference

Abstract

Summary We investigate the choice of default priors for use with likelihood for Bayesian and frequentist inference. Such a prior is a density or relative density that weights an observed likelihood function, leading to the elimination of parameters that are not of interest and then a density-type assessment for a parameter of interest. For independent responses from a continuous model, we develop a prior for the full parameter that is closely linked to the original Bayes approach and provides an extension of the right invariant measure to general contexts. We then develop a modified prior that is targeted on a component parameter of interest and by targeting avoids the marginalization paradoxes of Dawid and co-workers. This modifies Jeffreys’s prior and provides extensions to the development of Welch and Peers. These two approaches are combined to explore priors for a vector parameter of interest in the presence of a vector nuisance parameter. Examples are given to illustrate the computation of the priors.