Infinite Hierarchies and Prior Distributions
Gareth O. Roberts, Jeffrey S. Rosenthal · Bernoulli · 2001
Abstract. This paper introduces a way of constructing non-informative priors for Bayesian analysis, by taking a limit of priors arising from hierarchical constructions as the number of levels in the hierarchy converges to infinity. Results are proved showing that for location families, and other related cases, limits are often not dependent on the exact form of the increment distribution used.