Bayesian predictive inference without a prior
Abstract
Let be a sequence of random observations. Let be the -th predictive distribution and the marginal distribution of . In a Bayesian framework, to make predictions on , one only needs the collection . Because of the Ionescu-Tulcea theorem, can be assigned directly, without passing through the usual prior/posterior scheme. One main advantage is that no prior probability has to be selected. In this paper, is subjected to two requirements: (i) The resulting sequence is conditionally identically distributed, in the sense of Berti, Pratelli and Rigo (2004); (ii) Each is a simple recursive update of . Various new satisfying (i)-(ii) are introduced and investigated. For such , the asymptotics of , as , is determined. In some cases, the probability distribution of is also evaluated.
Cite
@article{arxiv.2104.11643,
title = {Bayesian predictive inference without a prior},
author = {Patrizia Berti and Emanuela Dreassi and Fabrizio Leisen and Pietro Rigo and Luca Pratelli},
journal= {arXiv preprint arXiv:2104.11643},
year = {2021}
}