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发帖数: 40 | 1 【 以下文字转载自 Statistics 讨论区 】
发信人: alvin (al), 信区: Statistics
标 题: a question about least favorable prior
发信站: BBS 未名空间站 (Tue May 29 23:34:29 2007)
Can a least favorable prior be an improper prior? My impression is that it
can, but it seems not true from the proof of the following theorem.
The theorem is: if Delta0 is a Bayes rule w.r.t. proper prior Pi0, and R(
theta, Delta0) <= r(Pi0, Delta0) for any theta. Then Pi0 is least favorable.
One of the steps of the proof is: integral of "R(delta0, the |
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