Statistics with improper posteriors
Statistics Theory
2018-12-05 v1 Statistics Theory
Abstract
In 1933 Kolmogorov constructed a general theory that defines the modern concept of conditional probability. In 1955 Renyi fomulated a new axiomatic theory for probability motivated by the need to include unbounded measures. We introduce a general concept of conditional probability in Renyi spaces. In this theory improper priors are allowed, and the resulting posteriors can also be improper.
Cite
@article{arxiv.1812.01314,
title = {Statistics with improper posteriors},
author = {Gunnar Taraldsen and Jarle Tufto and Bo H. Lindqvist},
journal= {arXiv preprint arXiv:1812.01314},
year = {2018}
}