Talk:Jeffreys prior

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Fisher Information Matrix[edit]

It's not clear from this article what do to for priors with multiple parameters. In that case it's the square root of the determinant of the Fisher information matrix. I haven't edited it though because I wonder whether the term "Fisher information" conventionally encompasses this definition... the Fisher information entry doesn't say as much though so either this or that entry ought to be amended. --Russell E 04:44, 27 March 2006 (UTC)

I re-wrote it to make the multiple parameters case more apparent. Maybe this addresses your comments? Quantling (talk) 15:26, 30 January 2009 (UTC)

Wht is o?[edit]

The main article keeps referring to


without ever defining it. Not helpful at all...

David B. Benson 21:28, 24 August 2007 (UTC)

frequentist judgement[edit]

Do others disagree with the appropriateness of the recently added text reading, "In general, use of Jeffreys priors violates the likelihood principle; many statisticians therefore regard their use as unjustified." Pdbailey (talk) 03:53, 13 December 2007 (UTC)

note on likelihood principle
I added the line about Jeffreys priors violating the likelihood principle. This is directly deducible from the referenced page on the likelihood principle. Many statisticians regard this as one reason why Jeffreys priors are not justified - this would include just about every "subjectivist" Bayesian, for instance, including me (a professor of Statistics at the University of Toronto).
The page ends with a description of it as a stub, so I don't think extensive references can be expected. I don't have time to write more - I just came across it casually and noted that the current stub is a one-sided justification (without references) of what is actually a controversial method. Radford Neal (talk) 05:08, 20 December 2007 (UTC)

Equivalence to logarithmic prior[edit]

While there are cases that the Jeffreys prior for the positive reals is equivalent to the (unnormalized) logarithmic prior, I don't think that this is always the case. For instance, for the positive real number \lambda that parameterizes a Poisson distribution, the (unnormalized) Jeffreys prior is proportional to 1/\sqrt{\lambda}. I have removed the discussion of the logarithmic prior, pending this discussion.

Quantling (talk) 16:11, 2 March 2009 (UTC)

Point taken -- thanks!
I've fixed the article to incorporate your point; as I understand it, you're saying that a distribution is a Jeffreys prior for a given question -- so the log prior is the Jeffreys prior for unknown standard deviation of a Gaussian, but not for an unknown rate of a Poisson process, though these have the same parameter space.
In future, could you please tell me (on my talk page) when I make a mistake so I can fix it? (I fixed this because I was advised by another editor.)
Hope the current page is both correct and useful!
—Nils von Barth (nbarth) (talk) 22:53, 16 September 2009 (UTC)
My apologies for not alerting you that I reverted some of your edits on the page for the Jeffreys prior. It was a failure on my part; I did not understand the proper etiquette. Thank you for your updated contribution to that page. Quantling (talk) 14:49, 17 September 2009 (UTC)
No worries Quantling, and thanks for the correction!
—Nils von Barth (nbarth) (talk) 02:35, 19 September 2009 (UTC)