Reference priors for shrinkage and smoothing parameters

Abstract A reference prior and corresponding reference posteriors are derived for a basic Normal variance components model with two components. Different parameterizations are considered, in particular one in terms of a shrinkage or smoothing parameter. Earlier results for the one-way ANOVA setting are generalized and a broad range of applications of the general results is indicated. Numerical examples of application to spline smoothing are given for illustration and the results compared with other well-known techniques considered to be “non-informative” about the smoothing parameter.

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