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Biometrika 1992 79(1):25-37; doi:10.1093/biomet/79.1.25
© 1992 by Biometrika Trust
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Ordered group reference priors with application to the multinomial problem

JAMES O. BERGER1 and JOSE M. BERNARDO2

1Department of Statistics, Purdue University West Lafayette, Indiana 47907, U.S.A.
2Departamento de Estadistica, Presidencia de la Generalidad and Universidad de Valencia Caballeros 2, 46001 Valencia, Spain

Noninformative priors are developed, using the reference prior approach, for multipara-meter problems in which there may be parameters of interest and nuisance parameters. For a given grouping of parameters and ordering of the groups, intuitively, according to inferential importance, an algorithm for determining the associated reference prior is presented. The algorithm is illustrated on the multinomial problem, with discussion of the variety and success of various groupings and ordering strategies.

Key Words: Baycsian inference • Multiparameter problem • Noninformative prior


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