On the Savage-Dickey paradox
Following several posts on this topic, we eventually managed to write down a short note with Jean-Michel Marin, which is now posted on arXiv, waiting for a last round of polishing before being submitted to the Annals. My conclusion on this topic is that Dickey’s (1971) condition on the conditional prior under the alternative has no measure-theoretic meaning unless additional continuity conditions are imposed upon those priors, while the other choices of versions found in the derivation can be seen as imposing a representation of
that holds everywhere instead of almost everywhere.
December 8, 2010 at 7:37 am
[…] well-covered by Chen, Shao and Ibrahim. The Savage-Dickey approach unsurprisingly misses the difficulty with the representation (as well as the spelling for Isabella Verdinelli’s last name). The description of Carlin and […]
November 16, 2009 at 12:49 am
[…] and Wasserman (1995). we have now completed (and rearXived) our rewriting of the paper on the Savage-Dickey paradox. And we eventually made the submission to the Annals of Statistics, with the hope that the mix of […]
October 14, 2009 at 12:03 am
[…] of the posterior by the normal asymptotic approximation to the likelihood, as already shown in the entry on Savage-Dickey posted a few days […]