Article,

Marginalization Paradoxes in Bayesian and Structural Inference

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Journal of the Royal Statistical Society. Series B (Methodological), 35 (2): 189--233 (1973)

Abstract

We describe a range of routine statistical problems in which marginal posterior distributions derived from improper prior measures are found to have an unBayesian property--one that could not occur if proper prior measures were employed. This paradoxical possibility is shown to have several facets that can be successfully analysed in the framework of a general group structure. The results cast a shadow on the uncritical use of improper prior measures. A separate examination of a particular application of Fraser's structural theory shows that it is intrinsically paradoxical under marginalization.

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