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dominating measure

March 21, 2019

Yet another question on X validated reminded me of a discussion I had once  with Jay Kadane when visiting Carnegie Mellon in Pittsburgh. Namely the fundamentally ill-posed nature of conjugate priors. Indeed, when considering the definition of a conjugate family as being a parameterised family Þ of distributions over the parameter space Θ stable under […]

estimating the measure and hence the constant

December 6, 2012

As mentioned on my post about the final day of the ICERM workshop, Xiao-Li Meng addresses this issue of “estimating the constant” in his talk. It is even his central theme. Here are his (2011) slides as he sent them to me (with permission to post them!): He therefore points out in slide #5 why […]

why is the likelihood not a pdf?

January 4, 2021

The return of an old debate on X validated. Can the likelihood be a pdf?! Even though there exist cases where a [version of the] likelihood function shows such a symmetry between the sufficient statistic and the parameter, as e.g. in the Normal mean model, that they are somewhat exchangeable w.r.t. the same measure, the […]

factorisation theorem on densities

December 23, 2020

Another occurrence, while building my final math stat exam for my (quarantined!) third year students, of a question on X validated that led me to write down more precisely an argument for the decomposition of densities in exponential families. Albeit the decomposition is somewhat moot (and lost on the initiator of the question since this […]

principles of uncertainty (second edition)

July 21, 2020

A new edition of Principles of Uncertainty is about to appear. I was asked by CRC Press to review the new book and here are some (raw) extracts from my review. (Some comments may not apply to the final and published version, mind.) In Chapter 6, the proof of the Central Limit Theorem utilises the […]