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On a prior based on the Wasserstein information matrix

Li, W; Rubio, FJ; (2022) On a prior based on the Wasserstein information matrix. Statistics and Probability Letters , 190 , Article 109645. 10.1016/j.spl.2022.109645. Green open access

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Abstract

We introduce a prior for the parameters of univariate continuous distributions, based on the Wasserstein information matrix, which is invariant under reparameterisations. We discuss the links between the proposed prior with information geometry. We present sufficient conditions for the propriety of the posterior distribution for general classes of models. We present a simulation study that shows that the induced posteriors have good frequentist properties.

Type: Article
Title: On a prior based on the Wasserstein information matrix
Open access status: An open access version is available from UCL Discovery
DOI: 10.1016/j.spl.2022.109645
Publisher version: https://doi.org/10.1016/j.spl.2022.109645
Language: English
Additional information: © 2022 Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Keywords: Fisher information matrix, Jeffreys prior, Wasserstein-2 distance, Wasserstein information matrix, Wasserstein prior
UCL classification: UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL
URI: https://discovery.ucl.ac.uk/id/eprint/10154214
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