Re. Kass et L. Wasserman, THE SELECTION OF PRIOR DISTRIBUTIONS BY FORMAL RULES, Journal of the American Statistical Association, 91(435), 1996, pp. 1343-1370
Subjectivism has become the dominant philosophical foundation for Baye
sian inference. Yet in practice, most Bayesian analyses are performed
with so-called ''noninformative'' priors, that is, priors constructed
by some formal rule. We review the plethora of techniques for construc
ting such priors and discuss some of the practical and philosophical i
ssues that arise when they are used. We give special emphasis to Jeffr
eys's rules and discuss the evolution of his viewpoint about the inter
pretation of priors, away from unique representation of ignorance towa
rd the notion that they should be chosen by convention. We conclude th
at the problems raised by the research on priors chosen by formal rule
s are serious and may not be dismissed lightly: When sample sizes are
small (relative to the number of parameters being estimated), it is da
ngerous to put faith in any ''default'' solution; but when asymptotics
take over, Jeffreys's rules and their variants remain reasonable choi
ces. We also provide an annotated bibliography.