[Forum SIS] Seminar Fabrizio Leisen @ Unimib

[Federico Camerlenghi]

Dear all,

we are glad to announce the next DEMS seminar:
Wednesday, 12th February 2020
Time 12.00, Aula de Lillo, Department of Economics, Management and
Statistics (DEMS)
Building U7, II floor, University of Milano - Bicocca

The speaker is Fabrizio Leisen from University of Kent.

*Title:* *On a Class of Objective Priors from Scoring Rules*
*Abstract:* Objective prior distributions represent an important tool that
allows one to have the advantages of using a Bayesian framework even when
information about the parameters of a model is not available. The usual
objective approaches work off the chosen statistical model and in the
majority of cases the resulting prior is improper, which can pose
limitations to a practical implementation, even when the complexity of the
model is moderate. In this talk we propose to take a novel look at the
construction of objective prior distributions, where the connection with a
chosen sampling distribution model is removed. We explore the notion of
defining objective prior distributions which allow one to have some degree
of flexibility, in particular in exhibiting some desirable features, such
as being proper, or log-concave, convex etc. The basic tool we use are
proper scoring rules and the main result is a class of objective prior
distributions that can be employed in scenarios where the usual model based
priors fail, such as mixture models and model selection via Bayes factors.
In addition, we show that the proposed class of priors is the result of
minimising the information it contains, providing solid interpretation to
the method.
This is a work in collaboration with C. Villa and S. G. Walker.

Best wishes,
Federico Camerlenghi


-- 
Federico Camerlenghi
Department of Economics, Management and Statistics
University of Milano Bicocca, Milano, Italy.
web-page: https://www.unimib.it/federico-camerlenghi
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