SAMSI workshop

Taking advantage of the people gathered at Frontiers of Statistical Decision Making and Bayesian Analysis, Dongchu Sun organised a one-day SAMSI workshop on reference priors for spatio-temporal models. Talking with a small group focused on this  topic was quite enjoyable and a change from the larger crowds at the conference (even though talks were also enjoyable there!). I particularly appreciated the discussion we had around AR(p) models and the difficulty of assessing whether or not non-stationary regions should be included in the analysis. The generalisation of the Berger-Yang (1994) paradigm to general values of p seems to put too much mass on the non-stationary region, even when using a symmetrisation technique… I came out of the meeting (exhausted and) wondering whether or not it was at all meaningfull to consider testing for stationarity, even though Bayes factors can be constructed in this setting.

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